TY - JOUR T1 - The Impact of Liquidity Fragmentation on Optimal Trading JF - Trading SP - 80 LP - 87 VL - 2009 IS - 1 AU - Charles-Albert Lehalle Y1 - 2009/12/21 UR - http://guides.pm-research.com/content/2009/1/80.abstract N2 - With MiFID, the recent changes in the European landscape modified the shape of intra-day volume curves. These, in combination with market risk through market impact function, are a key element in finding the balance between trading fast (to avoid market risk) and trading slow (to decrease market impact of the transactions). As these curves have a central role in quantitative trading, those changes have to be taken into account. The proposed statistical analysis of tick data allows us to infer some typical investor behavior in terms of intra-day activity, and to use them to optimize multi-destination trading. ER -