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Reducing transaction costs with low-latency trading algorithms |
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| Authors: | Sasha Stoikov Rolf Waeber |
| Institution: | 1. Cornell Financial Engineering Manhattan (CFEM), New York, NY, 10004USA.;2. School of Operations Research and Information Engineering (ORIE), Cornell University, Ithaca, NY, 14853USA. |
| Abstract: | |
| Keywords: | Optimal asset liquidation Algorithmic trading Transaction costs Market microstructure High-frequency trading Optimal stopping Trade execution latency Cost of latency Dynamic programming |