Tagged Questions
1
vote
2answers
323 views
Position management and market-making techniques
Suppose, there is a HF strategy (agent) that is based on order book microstructure, and it is able to make good executions locally. More formally, in average its execution price is better than asset ...
1
vote
1answer
154 views
Looking for analysis of NASDAQ suit?
I may have every particular detail of this wrong, including the exchange, but years ago, maybe as long as 20, there was a successful suit against NASDAQ based on research by academics showing their ...
5
votes
1answer
263 views
Market making in thinly traded assets
Could anyone suggest some literature or have any practical advice for marking a market in thinly traded assets with the following characteristics:
0-10 trades per day.
Open limit-order book with 0-5 ...
11
votes
3answers
1k views
Techniques to optimize the placement of orders in market making strategy?
Market making often requires placing and canceling a lot of orders. You have to buy and sell nearly simultaneously, so you need to move orders pretty often to beat other traders. But I would like to ...
