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Quantitative Finance Volume 17, 2017 - Issue 3
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Research Papers

Execution in an aggregator

Roel OomenDeutsche Bank AG, 1 Great Winchester St, London, EC2N 2DB,UK.;Department of Statistics, London School of Economics, Houghton Street, London, WC2A 2AE,UK.Correspondence[email protected]
Pages 383-404 | Received 20 Nov 2015, Accepted 02 Jun 2016, Published online: 21 Jul 2016

Citations (13)

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Read on this site (5)

Álvaro Cartea, Patrick Chang, Mateusz Mroczka & Roel Oomen. (2022) AI-driven liquidity provision in OTC financial markets. Quantitative Finance 22:12, pages 2171-2204.
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Milla Siikanen, Ulrich Nögel & Juho Kanniainen. (2019) Trading too expensively in the FX market?. Quantitative Finance 19:12, pages 1933-1944.
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Roel Oomen. (2019) Price signatures. Quantitative Finance 19:5, pages 733-761.
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M. Butz & R. Oomen. (2019) Internalisation by electronic FX spot dealers. Quantitative Finance 19:1, pages 35-56.
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Roel Oomen. (2017) Last look. Quantitative Finance 17:7, pages 1057-1070.
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Articles from other publishers (8)

Álvaro Cartea, Gerardo Duran-Martin & Leandro Sánchez-Betancourt. (2023) Detecting Toxic Flow. SSRN Electronic Journal.
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Álvaro Cartea, Sebastian Jaimungal & Tianyi Jia. (2020) Trading Foreign Exchange Triplets. SIAM Journal on Financial Mathematics 11:3, pages 690-719.
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Álvaro Cartea, Sebastian Jaimungal & Jamie Walton. (2018) Foreign exchange markets with Last Look. Mathematics and Financial Economics 13:1, pages 1-30.
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Hayden Melton. (2018) On fairness in continuous electronic markets. On fairness in continuous electronic markets.
Álvaro Cartea, Patrick Chang, Mateusz Mroczka & Roel C.A. Oomen. (2022) AI Driven Liquidity Provision in OTC Financial Markets. SSRN Electronic Journal.
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Roel C.A. Oomen. (2018) Price Signatures. SSRN Electronic Journal.
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lvaro Cartea, Sebastian Jaimungal & Tianyi Jia. (2017) Trading Foreign Exchange Triplets. SSRN Electronic Journal.
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lvaro Cartea & Sebastian Jaimungal. (2015) Foreign Exchange Markets with Last Look. SSRN Electronic Journal.
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