Maximising Fill Ratios in FX Markets with Latency, Volatility and Model Ambiguity


We analyse how latency affects the strategies of foreign exchange (FX) traders that send liquidity taking orders to the FX electronic exchange. Latency affects the prices and fill ratios obtained by traders. In this paper we... [ view full abstract ]


  1. Leandro Sánchez Betancourt (University of Oxford)
  2. Alvaro Cartea (University of Oxford)

Topic Areas

High-Frequency Trading , Optimal Control , Trading Strategies


TU-A-SW » High Frequency Trading (11:30 - Tuesday, 17th July, Swift)

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