Enhancing trading strategies with order book signals
Year of publication: |
March-April 2018
|
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Authors: | Cartea, Álvaro ; Donnelly, Ryan ; Jaimungal, Sebastian |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 25.2018, 1/2, p. 1-35
|
Subject: | Order imbalance | algorithmic trading | high-frequency trading | order flow | market making | adverse selection | Elektronisches Handelssystem | Electronic trading | Wertpapierhandel | Securities trading | Adverse Selektion | Adverse selection | Marktmikrostruktur | Market microstructure | Theorie | Theory | Handelsvolumen der Börse | Trading volume | Asymmetrische Information | Asymmetric information | Signalling |
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