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Keywords: Market impact
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Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2014) 31 (1): 46–71.
Published: 25 February 2014
...Azeem Malik; Wing Lon Ng Purpose – Algorithmic trading attempts to reduce trading costs by selecting optimal trade execution and scheduling algorithms. Whilst many common approaches only consider the bid-ask spread when measuring market impact, the authors aim to analyse the detailed limit order...
