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Proposal of limit order execution system using order book information

机译：使用订单簿信息的限价订单执行系统的建议

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大矢倫靖;
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年度 2010
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正文语种 ja
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1. Optimal Execution and Price Manipulations in Time-varying Limit Order Books [J] . AURéLIEN ALFONSI, JOSé INFANTE ACEVEDO Applied mathematical finance . 2014,第3a4期

机译：时变限价订单簿中的最佳执行和价格操纵
2. Optimal execution strategies in limit order books with general shape functions [J] . AURELIEN ALFONSI, ANTJE FRUTH, ALEXANDER SCHIED Quantitative finance . 2010,第2期

机译：具有一般形状函数的限价订单簿中的最佳执行策略
3. Optimal execution strategies in limit order books with general shape functions [J] . AurÃ©lienAlfonsiaAntjeFruthbAlexanderSchiedc* Quantitative Finance . 2010,第2期

机译：具有一般形状函数的限价订单簿中的最佳执行策略
4. Online learning in limit order book trade execution [C] . Nima Akbarzadeh, Cem Tekin, Mihaela van der Schaar IEEE Global Conference on Signal and Information Processing . 2017

机译：限价订单交易执行中的在线学习
5. Equilibrium Model of Limit Order Book and Optimal Execution Problem [D] . Noh, Eunjung. 2018

机译：限制票针均衡模型及最优执行问题
6. Proposal for the assessment of quantitative dermal exposure limits in occupational environments: Part 1. Development of a concept to derive a quantitative dermal occupational exposure limit [O] . P. M. Bos, D. H. Brouwer, H. Stevenson, 1998

机译：评估职业环境中的定量皮肤职业接触限值的建议：第1部分。制定导出定量的皮肤职业接触限值的概念
7. We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can cause drastic market reactions (“market impact”) in the end leading to higher transaction costs. On the other hand the Iceberg trader faces a loss-in-priority when he hides his intentions, as most electronic limit order books penalize the usage of hidden liquidity. Thus the Iceberg-trader is faced with the problem to find the right trade-off. Our model provides optimal exposure strategies for Iceberg traders in limit order book markets. In particular, we provide a range of analytical statements that are in line with recent empirical findings on the determinants of trader’s exposure strategies. In this framework, we also study the market impact also market impact of limit orders. We provide optimal exposure profiles for a range of hightech stocks from the US SP500 and how they scale with the state-of-the-book. We finally test the Iceberg’s performance against the limit orders and find that Iceberg orders can significantly enhance trade performance by up to 60. [O] . Gökhan Cebiro˜glu, Ulrich Horst 100

机译：我们在限价订单簿中开发了冰山订单执行的顺序交易模型。 Iceberg-trader可以自由地揭露他的交易意图，或者（部分）屏蔽其他市场参与者的真实订单规模。订单暴露最终会导致市场反应激烈（“市场影响”），导致交易成本上升。另一方面，冰山交易员在隐藏他的意图时面临优先权损失，因为大多数电子限价订单都会惩罚隐藏流动性的使用。因此，冰山商人面临着找到正确权衡的问题。我们的模型为限额订单市场中的冰山交易者提供了最佳的风险敞口策略。特别是，我们提供了一系列分析性陈述，这些陈述与最近关于交易者暴露策略决定因素的实证研究结果一致。在此框架下，我们还研究了市场影响以及限价订单的市场影响。我们为来自美国标准普尔500指数的一系列高科技股票提供最佳曝光配置文件，以及它们如何随着本书的规模扩展。我们最终根据极限订单测试了冰山的表现，发现冰山订单可以显着提升贸易业绩高达60％。
8. Airborne Systems Software Acquisition Engineering Guidebook for Statements of Work and Requests for Proposal [R] . Plumb, W. 1978

机译：机载系统软件采购工程报表工程指南和提案请求

Proposal of limit order execution system using order book information

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