Article
Capturing Block Liquidity to Improve Algorithm Performance
Hitesh Mittal, Kathryn Sharpe and Nigam Saraiya
Trading Spring 2011, 2011 (1) 63-70
Hitesh Mittal
is a managing director and head of liquidity management at Investment Technology Group, Inc., in New York, NY.
Kathryn Sharpe
is a quantitative analyst in algorithmic trading at Investment Technology Group, Inc., in New York, NY.
Nigam Saraiya
is a vice president of algorithmic trading at Investment Technology Group, Inc., in New York, NY.
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Capturing Block Liquidity to Improve Algorithm Performance
Hitesh Mittal, Kathryn Sharpe, Nigam Saraiya
Trading Mar 2011, 2011 (1) 63-70;
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- Article
- Abstract
- ALGORITHMIC TRADING HAS NEGATIVELY IMPACTED BLOCK TRADING
- UNDERSTANDING BLOCK CROSSING NETWORKS: THE TYPICAL WORKFLOW
- APPLYING THE BLOCK INDICATION MECHANISM TO ALGORITHMS
- DOES BLOCK INTEGRATION HELP ALGORITHMIC PERFORMANCE?
- BLOCK INDICATIONS AND THE REGULATORY CONTEXT
- QUANTIFYING THE BENEFITS OF BLOCK CROSSING IN ALGORITHMIC CONTEXT
- ENDNOTES
- REFERENCES
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