Effective Trade Execution

Riccardo Cesari (), Massimiliano Marzo and Paolo Zagaglia

Working Paper series from Rimini Centre for Economic Analysis

Abstract: This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high frequency trading technology. Special order types are examined together with an intuitive description of the implied dynamics of the order book conditional to special orders (iceberg and hidden). The chapter provides an analysis of the transaction costs associated with trading activity and examines the most common trading strategy employed in the market. It also examines optimal execution strategy with the description of the Efficient Trading Frontier. These concepts represent the tools needed to understand the most recent innovations in financial markets and the most recent advances in microstructures research.

Keywords: Order book; price impact; execution strategy; high frequency trading (search for similar items in EconPapers)
JEL-codes: G12 G14 G19 (search for similar items in EconPapers)
Date: 2012-06
New Economics Papers: this item is included in nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Portfolio Theory and Management, 411, 2013

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http://www.rcea.org/RePEc/pdf/wp41_12.pdf (application/pdf)

Related works:
Working Paper: Effective Trade Execution (2012)
Working Paper: Effective Trade Execution (2012)
Working Paper: Effective Trade Execution (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:41_12

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