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Persistent link: https://www.econbiz.de/10010258798
Purpose – Algorithmic trading attempts to reduce trading costs by selecting optimal trade execution and scheduling algorithms. Whilst many common approaches only consider the bid-ask spread when measuring market impact, the authors aim to analyse the detailed limit order book data, which has...
Persistent link: https://www.econbiz.de/10010744446
Purpose – Algorithmic trading attempts to reduce trading costs by selecting optimal trade execution and scheduling algorithms. Whilst many common approaches only consider the bid-ask spread when measuring market impact, the authors aim to analyse the detailed limit order book data, which has...
Persistent link: https://www.econbiz.de/10015014203