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Journal article

Optimal order placement in limit order markets

Abstract:

To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by characteristics of the order flows and queue sizes in each limit order book, as well as the structure of transaction fees and rebates across exchanges. We propose a quantitative framework for studying this order placement problem by formulating it as a convex optimization problem. This formulation allo...

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Publication status:
Published
Peer review status:
Peer reviewed
Version:
Accepted Manuscript

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Publisher copy:
10.1080/14697688.2016.1190030

Authors


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Institution:
University of Oxford
Division:
MPLS Division
Department:
Mathematical Institute
Oxford college:
St Hughs College
Role:
Author
ORCID:
0000-0003-1164-6053
Publisher:
Taylor and Francis Publisher's website
Journal:
Quantitative Finance Journal website
Volume:
17
Issue:
1
Pages:
21-39
Publication date:
2016-06-17
Acceptance date:
2016-04-28
DOI:
EISSN:
1469-7696
ISSN:
1469-7688
Pubs id:
pubs:866697
URN:
uri:0ab2bc82-2098-406b-b962-c6134402a0a4
UUID:
uuid:0ab2bc82-2098-406b-b962-c6134402a0a4
Local pid:
pubs:866697

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