The Optimal Order Execution Problem within the Framework of a High-Frequency Trading - Sample Model

Bogusław Bławat

MPRA Paper from University Library of Munich, Germany

Abstract: Optimal execution of large orders is examined within the technical framework of High-Frequency Trading (HFT). A sample model is proposed, which extends an existing strategy through HFT means like time slicing with random splitting of the order volume and time shifting. As this strategy brings some information asymmetry to the trading parties, a general question about its impact on market benefit is raised and proposed for further academic research.

Keywords: Optimal order execution; HFT; liquidity (search for similar items in EconPapers)
JEL-codes: C58 G14 (search for similar items in EconPapers)
Date: 2012
New Economics Papers: this item is included in nep-mst
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Published in Zeszyty Naukowe Uniwersytetu Szczecińskiego 50.689(2012): pp. 385-390

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https://mpra.ub.uni-muenchen.de/49081/1/FRFU-50-385.pdf original version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:49081

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