Optimal High Frequency Interactions with Orderbook


We consider an agent who needs to buy (or sell) a relatively small amount of asset over some fixed short time interval. We work at the highest frequency meaning that we wish to find the optimal tactic to execute our quantity... [ view full abstract ]


  1. Othmane Mounjid (Ecole Polytechnique-CMAP)
  2. Charles-albert Lehalle (Imperial College and CFM)
  3. Mathieu Rosenbaum (Ecole Polytechnique-CMAP)

Topic Areas

High-Frequency Trading , Limit-Order Books , Trading Strategies


WE-A-EM » Optimal Execution, and LOB Models (11:30 - Wednesday, 18th July, Emmet)

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