Saved in:
| Main Author: | |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2501.07581 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866912377262309376 |
|---|---|
| author | Morimoto, Yusuke |
| author_facet | Morimoto, Yusuke |
| contents | This paper introduces a new algorithmic execution model that integrates interbank limit and market orders with internal liquidity generated through market making. Based on the Cartea et al.\cite{cartea2015algorithmic} framework, we incorporate market impact in interbank orders while excluding it for internal market-making transactions. Our model aims to optimize the balance between interbank and internal liquidity, reducing market impact and improving execution efficiency. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2501_07581 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Optimal Execution Strategies Incorporating Internal Liquidity Through Market Making Morimoto, Yusuke Trading and Market Microstructure Probability This paper introduces a new algorithmic execution model that integrates interbank limit and market orders with internal liquidity generated through market making. Based on the Cartea et al.\cite{cartea2015algorithmic} framework, we incorporate market impact in interbank orders while excluding it for internal market-making transactions. Our model aims to optimize the balance between interbank and internal liquidity, reducing market impact and improving execution efficiency. |
| title | Optimal Execution Strategies Incorporating Internal Liquidity Through Market Making |
| topic | Trading and Market Microstructure Probability |
| url | https://arxiv.org/abs/2501.07581 |