How do you detect order execution algorithms?
How do you detect order execution algorithms?
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Dylan Kerler · External communityPost link
External question — Quantitative Finance Stack Exchange
Author: Dylan Kerler
Original post: https://quant.stackexchange.com/questions/60610
License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/
Adaptation: HTML converted to plain text; contact email addresses removed.
Most large orders nowadays are done through TWAP or VWAP based order execution. For example, if Alice wants to sell $60 million in EURUSD she will break up her order into 50,000 tiny orders and then send them to the broker over the course of T time.
Are there any papers/known methods in detecting such behaviour?
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Quoted from Forex.com.bd-Editorial External question — Quantitative Finance Stack Exchange Author: Dylan Kerler Source score (net votes, not local likes): 1 Original post: https://quant.stackexchange.com/questions/60610 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Most large orders nowadays are done through TWAP or VWAP based order execution. For example, if Alice wants to sell $60 million in EURUSD she will break up her order into 50,000 tiny orders and then send them to the broker over the course of T time. Are there any papers/known methods in detecting such behaviour?
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