Quantifying Price Improvement in Order Flow Auctions

By Brad Bachu, Xin Wan, Ciamac C. Moallemi

Published 2024-05-24

Everscope rating

1510.5

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Empirical analysis with theoretical framework. Problem types: Regression, Optimization.

arXiv:2405.00537 · Paper rankings

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