Electronic trading in order-driven markets: Efficient execution

Proceedings - Seventh IEEE International Conference on E-Commerce Technology, CEC 2005

Volumn 2005, Issue , 2005, Pages 190-197

  Nevmyvaka, Yuriy ^a   Kearns, Michael ^b   Papandreou, Amy ^c   Sycara, Katia ^a  

^a CARNEGIE MELLON UNIVERSITY   (United States)

^b UNIVERSITY OF PENNSYLVANIA   (United States)

^c LEHMAN BROTHERS   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ELECTRONIC MARKETS; INVESTMENT STRATEGY; MARKET ORDERS; PROFIT OPPORTUNITIES;

COMPETITION; DATA REDUCTION; INVESTMENTS; MARKETING; RISK ASSESSMENT;

ELECTRONIC COMMERCE;

EID: 33749077346     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ICECT.2005.42     Document Type: Conference Paper

References (12)

1. Almgren, R. and Chriss, N., Value Under Liquidation, Risk, 1999.
2. Almgren, R. and Chriss, N., Optimal Execution of Portfolio Transactions, Journal of Risk, 2002.
3. Bertsimas, D. and Lo, A., Optimal Control of Execution Costs, Journal of Financial Markets 1, 1998.
4. Bias, B., Hilton, P., and Spatt, C., An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse, Journal of Finance, 50, 1995.
5. Handa, P. and Schwartz, R., Limit Order Trading, Journal of Finance 51, 1835-1861, 1996.
6. Harris, L., Trading and Exchanges: Market Microstructure for Professionals, Oxford University Press, October 2002.
7. Hasbrouck, J., and Harris, L., Market vs. Limit Orders: The SuperDot Evidence on Order Submission Strategy, Journal of Financial and Quantitative Analysis, 31, 1996.
8. Hollifield, B., Miller, R., Sandas, P., Empirical Analysis of Limit Order Markets, working paper, Carnegie Mellon University, 2003.
9. Nevmyvaka, Y., Kearns, M., Papandreou, A., and Sycara, K., 2004, Optimized Execution Via Order Book Simulation, working paper, CMU.
10. Kissell, R., and Glantz, M., Optimal Trading Strategies: Quantitative Approaches For Managing Market Impact and Trading Risk, AMACOM, 2003.
11. Lo, A., MacKinlay, C., Zhang, J., 2000, Econometric Models of Limit-Order Executions, Journal of Financial Economics, 65, 2002.
12. Markowitz, H., Portfolio Selection, Journal of Finance, 7(1), 77-91, 1952.