JF读书笔记 – 2018年8月

Unscheduled News and Market Dynamics

In a limit order market, the price information (limit orders) are the only information that market participant can be efficiently used to communicate with others.

Optimal Order Submission

  1. Order Price
  2. Execution Probability
  3. Pick-off Risk

The optimal order submission is a trade-off between these three factors.