Optimal order placement in limit order markets

Дата: 
23/11/14
Аномалии: 
Авторы: 
Rama Cont Arseniy Kukanov
Аннотация: 
To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is in uenced by characteristics of the order ows and queue sizes in each limit order book, as well as the structure of transaction fees and rebates across exchanges. We propose a quantitative framework for studying this order placement problem by formulating it as a convex optimization problem. This formulation allows to study how the optimal order placement decision depends on the interplay between the state of order books, the fee structure, order flow properties and the aversion to execution risk. In the case of a single exchange, we derive an explicit solution for the optimal split between limit and market orders. For the general case of order placement across multiple exchanges, we propose a stochastic algorithm that computes the optimal routing policy and study the sensitivity of the solution to various parameters. Our solution exploits data on recent order lls across exchanges in the numerical implementation of the algorithm.
Описание: 

Статья об оптимальном выставлении ордеров с учетом разных площадок исполнения и возможностей разбивки ордеров. В целом интересно, но в основном брокерам наверное.