Enhancing trading strategies with order book signals
Álvaro Cartea, Ryan Donnelly and Sebastian Jaimungal
| 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
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| 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 | Geld-Brief-Spanne | Bid-ask spread | Portfolio-Management | Portfolio selection | Handelsvolumen der Börse | Trading volume | Asymmetrische Information | Asymmetric information | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2018.1434009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011959112