Optimal Organizations for Optimal Trading

Charles-Albert Lehalle and Sophie Laruelle

Chapter 3 in Market Microstructure in Practice, 2018, pp 193-246 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:Organizing a Trading Structure to Answer a Fragmented LandscapeMain inputs of trading toolsComponents of trading algorithmsMain outputs of an automated trading systemMarket Impact Measurements: Understanding the Price Formation Process from the Viewpoint of One InvestorMarket impact over the trading periodMarket impact on a longer horizon: Price anticipation and permanent market impactThe Price Formation Process and Orderbooks DynamicsInformation reaching orderbooksUnderstanding via conditioningConclusion on orderbook dynamicsOptimal Trading MethodsAlgorithmic trading: Adapting trading style to investors’ needsLiquidity-seeking algorithms are no longer nice to haveConclusion on optimal trading

Keywords: Market Microstructure; Finance; Financial Markets; Market Liquidity; Financial Regulation; MiFID; Reg NMS; ESMA (search for similar items in EconPapers)
JEL-codes: G11 G14 (search for similar items in EconPapers)
Date: 2018
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Chapter: Optimal Organisations for Optimal Trading (2013)
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