Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/159675
Authors: 
Cesari, Riccardo
Marzo, Massimiliano
Zagaglia, Paolo
Year of Publication: 
2012
Series/Report no.: 
Quaderni - Working Paper DSE 836
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.
JEL: 
G12
G14
G19
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-nc/3.0/
Document Type: 
Working Paper

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