{"@context":{"@vocab":"https://cir.nii.ac.jp/schema/1.0/","rdfs":"http://www.w3.org/2000/01/rdf-schema#","dc":"http://purl.org/dc/elements/1.1/","dcterms":"http://purl.org/dc/terms/","foaf":"http://xmlns.com/foaf/0.1/","prism":"http://prismstandard.org/namespaces/basic/2.0/","cinii":"http://ci.nii.ac.jp/ns/1.0/","datacite":"https://schema.datacite.org/meta/kernel-4/","ndl":"http://ndl.go.jp/dcndl/terms/","jpcoar":"https://github.com/JPCOAR/schema/blob/master/2.0/"},"@id":"https://cir.nii.ac.jp/crid/1361137044740206080.json","@type":"Article","productIdentifier":[{"identifier":{"@type":"DOI","@value":"10.1142/s2382626617500095"}},{"identifier":{"@type":"URI","@value":"https://www.worldscientific.com/doi/pdf/10.1142/S2382626617500095"}}],"dc:title":[{"@value":"Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency"}],"description":[{"type":"abstract","notation":[{"@value":"<jats:p> This paper is split in three parts: first, we use labeled trade data to exhibit how market participants’ decisions depend on liquidity imbalance; then, we develop a stochastic control framework where agents monitor limit orders, by exploiting liquidity imbalance, to reduce adverse selection. For limit orders, we need optimal strategies essentially to find a balance between fast execution and avoiding adverse selection: if the price has chances to go down, the probability to be filled is high, but it is better to wait a little more to get a better price. In a third part, we show how the added value of exploiting liquidity imbalance is eroded by latency: being able to predict future liquidity consuming flows is of less use if you do not have enough time to cancel and reinsert your limit orders. There is thus a rationale for market makers to be as fast as possible to reduce adverse selection. Latency costs of our limit order driven strategy can be measured numerically. </jats:p><jats:p> To authors’ knowledge, this paper is the first to make the connection between empirical evidences, a stochastic framework for limit orders including adverse selection, and the cost of latency. Our work is a first step to shed light on the role played by latency and adverse selection in optimal limit order placement. </jats:p>"}]}],"creator":[{"@id":"https://cir.nii.ac.jp/crid/1381137044740206081","@type":"Researcher","foaf:name":[{"@value":"Charles-Albert Lehalle"}],"jpcoar:affiliationName":[{"@value":"Capital Fund Management, Paris and Imperial College, London, UK"}]},{"@id":"https://cir.nii.ac.jp/crid/1381137044740206080","@type":"Researcher","foaf:name":[{"@value":"Othmane Mounjid"}],"jpcoar:affiliationName":[{"@value":"Université Pierre et Marie Curie, Paris, France"}]}],"publication":{"publicationIdentifier":[{"@type":"PISSN","@value":"23826266"},{"@type":"EISSN","@value":"24248037"}],"prism:publicationName":[{"@value":"Market Microstructure and Liquidity"}],"dc:publisher":[{"@value":"World Scientific Pub Co Pte Lt"}],"prism:publicationDate":"2017-03","prism:volume":"03","prism:number":"01","prism:startingPage":"1750009"},"reviewed":"false","url":[{"@id":"https://www.worldscientific.com/doi/pdf/10.1142/S2382626617500095"}],"createdAt":"2017-09-21","modifiedAt":"2019-08-07","relatedProduct":[{"@id":"https://cir.nii.ac.jp/crid/1360849944105416960","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Analyzing order flows in limit order books with ratios of Cox-type intensities"}]}],"dataSourceIdentifier":[{"@type":"CROSSREF","@value":"10.1142/s2382626617500095"},{"@type":"CROSSREF","@value":"10.1080/14697688.2019.1637927_references_DOI_CG6tZigijNUGB4nU2zIU1Lxwiy6"}]}