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Portfolio Theory and Management$
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H. Kent Baker and Greg Filbeck

Print publication date: 2013

Print ISBN-13: 9780199829699

Published to Oxford Scholarship Online: May 2013

DOI: 10.1093/acprof:oso/9780199829699.001.0001

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PRINTED FROM OXFORD SCHOLARSHIP ONLINE (oxford.universitypressscholarship.com). (c) Copyright Oxford University Press, 2022. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use.date: 28 June 2022

Effective Trade Execution

Effective Trade Execution

Chapter:
(p.411) 18 Effective Trade Execution
Source:
Portfolio Theory and Management
Author(s):

Riccardo Cesari

Massimiliano Marzo

Paolo Zagaglia

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780199829699.003.0018

This chapter 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 strategies 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 in financial markets and the most recent advances in microstructures research.

Keywords:   algorithmic trading, special orders, transaction costs, trading strategies, efficient trading frontier

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