Effective Trade Execution

Cesari, Riccardo ; Marzo, Massimiliano ; Zagaglia , Paolo (2012) Effective Trade Execution. Bologna: Dipartimento di Scienze economiche, p. 30. DOI 10.6092/unibo/amsacta/4007. In: Quaderni - Working Paper DSE (836). ISSN 2282-6483.
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Abstract

This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high frequency trading technology. Special order types are examined together with an intuitive description of the implied dynamics of the order book conditional to special orders (iceberg and hidden). The chapter provides an analysis of the transaction costs associated with trading activity and examines the most common trading strategy employed in the market. It also examines optimal execution strategy with the description of the Efficient Trading Frontier. These concepts represent the tools needed to understand the most recent innovations infinancial markets and the most recent advances in microstructures research.

Abstract
Document type
Monograph (Working Paper)
Creators
CreatorsAffiliationORCID
Cesari, Riccardo
Marzo, Massimiliano
Zagaglia , Paolo
Keywords
Order book; price impact; execution strategy; high frequency trading
Subjects
ISSN
2282-6483
DOI
Deposit date
04 Apr 2014 14:52
Last modified
17 Mar 2015 13:33
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