7
votes
1answer
151 views

How do you calibrate a poisson arrival rate process?

Many papers in the microstructure literature assume an order arrival rate of the form $\lambda^a(\delta) = \lambda^b(\delta) = Ae^{-k\delta}$ That is, an order that's placed $\delta$ away from the ...
1
vote
1answer
160 views

Liquidity seeking algorithms open source implementation

Are there any free online liquidity seeking algorithms? Possible an open source implementation? Not looking for anything state-of-the-art, but just to get an idea how they work.
0
votes
1answer
70 views

How does a cross trade pose a problem to the retail investor

How does a cross trade pose a disadvantage to the retail client. In this explanation It says: ...