Optimal Organisations for Optimal Trading

Charles-Albert Lehalle and Sophie Laruelle
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Sophie Laruelle: Université Paris-Est Créteil, France

Chapter 4 in Market Microstructure in Practice, 2013, pp 185-220 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Organising a Trading Structure to Answer to 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 InvestorBetter understanding on what impacts the priceMarket impact over the trading periodMarket impact on a longer horizon: Different patterns for different investment stylesDependence between investment style and market impact on a monthly horizonOptimal Trading MethodsAlgorithmic trading: Adapting trading style to investors' needsLiquidity seeking algorithms are no longer nice to have

Keywords: Market Microstructure; Finance; Financial Markets; Regulation; MiFID; Reg NMS; ESMA (search for similar items in EconPapers)
Date: 2013
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Chapter: Optimal Organizations for Optimal Trading (2018)
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