Search Results for author: Duane J. Seppi

Found 1 papers, 0 papers with code

Learning about latent dynamic trading demand

no code implementations27 May 2021 Xiao Chen, Jin Hyuk Choi, Kasper Larsen, Duane J. Seppi

We show that trading strategies are combinations of trading towards investor targets, liquidity provision for other investors' demands, and front-running based on learning about latent underlying trading demand imbalances and future price pressure.

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