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Thesis

Uncertain execution in order-driven markets

Abstract:

So-called 'latency' refers to the various small but significant time delays that occur in the course of the communications between a trader and a market. Such delays happen between the time an exchange streams market data to a trader, the time at which the trader processes the information and decides to trade, and the time at which the exchange receives and processes the order from the trader. Latency is a challenge faced by all traders and is of great importance in modern financial market...

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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Sub department:
Mathematical Institute
Research group:
Mathematical and Computational Finance
Oxford college:
Oriel College
Role:
Author
ORCID:
https://orcid.org/0000-0001-6447-7105

Contributors

Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Sub department:
Mathematical Institute
Research group:
Mathematical and Computational Finance
Role:
Supervisor
ORCID:
0000-0002-7426-4645
More from this funder
Name:
Consejo Nacional de Ciencia y Tecnología
Funder identifier:
http://dx.doi.org/10.13039/501100003141
Funding agency for:
Sanchez Betancourt, L
Grant:
2018-000009-01EXTF-00385
Programme:
Becas al Extranjero Demanda Libre 2018
More from this funder
Name:
Mathematical Institute, University of Oxford
Funding agency for:
Sanchez Betancourt, L
Programme:
Mathematical Finance Scholarship
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
University of Oxford

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