Autor:	Fränkle, Jan
Přispěvatelé:	Rachev, S.
Jazyk:	angličtina
Rok vydání:	2010
Předmět:	trading volume market microstructure Economics ddc:330 algorithmic trading execution strategy
DOI:	10.5445/ir/1000021543
Popis:	At today's stock markets, most of the trading volume is traded electronically. Thus, also many market participants execute their order flow automatically with the help of trading algorithms. Hence, several important aspects concerning algorithmic trading are discussed. One of the main topics of the current work is the measurement and the analysis of the market impact of transactions performed by a trading algorithm. Another main topic is a model to predict the intraday trading volume.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::39e709e305a17ffa3ef2d5c5f293371d Zobrazit plný text záznamu