limit order strategies 1optimal execution 1order flow imbalance 1passive market impact 1price impact modeling 1
From the 1 of 3 linked papers with an AI index.
3 papers
q-fin.TR2026
Optimal Execution with Passive Market Impact
Alexander Barzykin, Robert Boyce, Eyal Neuman +1
The paper proposes a mesoscopic model for optimal execution using passive limit orders, capturing how fill probabilities decay exponentially with quote distance and how prices resp…
q-fin.TR2026
Competition in Dealer Markets with Internalisation and Externalisation
Robert Boyce, Eyal Neuman
We model a market with multiple dealers who compete for client order flow by dynamically updating their bid and ask quotes for a risky asset. Dealers aim to maximise expected profi…
q-fin.TR2025
FX Market Making with Internal Liquidity
Alexander Barzykin, Robert Boyce, Eyal Neuman
As the FX markets continue to evolve, many institutions have started offering passive access to their internal liquidity pools. Market makers act as principal and have the opportun…