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4

With respect to what you need, you have to consider different aspects of optimal trading: the Almgren-Chriss framework (cited by Anna, since Jim and Alex -amongst others- extended it) focus on obtaining an optimal trading rate, it is nice but not really what you need. You can nevertheless use it to plan / schedule your trading during the day. but what you ...


4

Think of it like a forward trade on the settlement price. If you are buying with a TAS you are agreeing to go long the futures contract at the settlement price (+/- the offset), and whoever you trade with is agreeing to go short at the same price. It is guaranteed because the exchange becomes the counterparty for both traders and there is a margin deposit. ...


3

Look into OLF's Findur http://www.olf.com/software/financial-capital.html highly customizable trading platform, will not give you everything you mentioned out of the gate but has capability to get there with some development effort


3

It is possible to think of a strategy for splitting orders for one large sell over time as a function $x_t$ which describes how much to sell at each timestep $t$. If the instantaneous trading rate $\dot{x_t}$ is too large, i.e. too much is sold at once you get immediate impact which is bad. If selling takes too much time, there is the risk of negative price ...


3

In the paper Optimal split of orders across liquidity pools: a stochastic algorithm approach (2011) we present the theoretical aspect of liquidity seeking, thus you will learn how they work. There is a seminal (once again) white paper by Robert Almgren on iceberg chasing that is very informative too.


2

I guess this remark refers mainly to "penny stocks". In the US (it is not true in Europe where crossing is far more regulated) it may be possible to choose to cross at any point inside the bid-ask spread. It means that if it is closer to the bid than to the ask, it will advantage the buyer. In Sub Penny Trading in US Equity Markets (by Romain Delassus, ...


2

So to summarize the comments given, dark pools seem to do the following: banning of specific firms by the dark pool requiring a minimum order size banning of firms by the participants flow analysis to separate different types of players To me it seems that this covers most of the reasonable actions they could possibly take and whether this is done seems ...


2

Here is how I would approach such a calibration. Assuming we have the necessary market data one can easily construct the emprical distribution of the arrival rate. Let $\lambda_{emp}(\delta)$ be the empirical distribution. Then one can define a metric by $$ m(k,A,N)=\sum_{i=1}^N |\lambda_{emp}(i)-\lambda^a(i)| $$ After you have decided upon a suitable ...


1

I can speak from experience that options with next to no volume and ridiculously large spreads have market makers that accept nothing short of 5% effective spreads, right below liquidation value for deep in the money, and quickly nothing for out of the money. Also, the parameters should be expected to move against your fund flows very quickly. I've found ...



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