Showing 2024Show all
2 papers · 1 filter
q-fin.TR2024
Unwinding Toxic Flow with Partial Information
Alexander Barzykin, Robert Boyce, Eyal Neuman
We consider a central trading desk which aggregates the inflow of clients' orders with unobserved toxicity, i.e. persistent adverse directionality. The desk chooses either to inter…
math.PR2024
Fluid-Limits of Fragmented Limit-Order Markets
Johannes Muhle-Karbe, Eyal Neuman, Yonatan Shadmi
Maglaras, Moallemi, and Zheng (2021) have introduced a flexible queueing model for fragmented limit-order markets, whose fluid limit remains remarkably tractable. In the present st…