O'Reilly logo

Handbook on Systemic Risk by Joseph A. Langsam, Jean-Pierre Fouque

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

21

Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process

Charles-Albert Lehalle

Abstract A great deal of academic and theoretical work has been dedicated to optimal liquidation of large orders these last twenty years. The optimal split of an order through time (‘optimal trade scheduling’) and space (‘smart order routing’) is of high interest to practitioners because of the increasing complexity of the market micro structure because of the evolution recently of regulations and liquidity worldwide. This chapter translates into quantitative terms these regulatory issues and, more broadly, current market design.

It relates the recent advances in optimal trading, order-book simulation and optimal liquidity to the reality ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required