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Finanse, Rynki Finansowe, Ubezpieczenia

Previously: Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia

5/2017
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Istota optymalizacji wykonywania zleceń oraz zastosowanie wskaźników wpływu na rynek w handlu o wysokiej częstotliwości


(ORDER EXECUTION OPTIMIZATION AND THE USE OF MARKET IMPACT RATIOS IN HIGH-FREQUENCY TRADING)
DOI: 10.18276/frfu.2017.89/1-04
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ISSN:2450-7741
eISSN:2300-4460
Authors: Carlos Jorge Lenczewski Martins
Szkoła Główna Handlowa w Warszawie
Keywords: High-Frequency Trading (HFT) market influence optimization orders
Issue / book publication date:2017
Page range:11 (57-67)
OAI-PMH:Metadata
CC BY-SA Open Access
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Abstract

The conception of High-Frequency Trading is related with new issues on the ways of performing transactions. This is especially true in the foreign exchange market, where entities like market makers have their positions open for short periods of time, at the most until the end of the day, and where issues like those regarding portfolio optimization seem to be of less importance. More significant are those matters related with the execution of orders, dependent of such things as strategy aggressiveness, risk aversion or the nominal value of the orders. The aim of this article is to present the essence of order placement and execution optimization of high-frequency trading entities. In addition, a selected market influence ratio will be presented,used as an important guidance tool in the process of order placement and execution optimization.

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