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Quantitative Finance · Glosarium

Apa itu Order placement problem?

Definition 17.1 Microstructure and Execution · Bab 17 — Child-Order Placement

The order placement problem is the choice, for a child order that must be done by a deadline, of where and when to post it (at the best quote, behind it, inside the spread, or across it as a marketable order) and of how to revise it, so as to minimise the expected cost against the mid at the decision, penalised by its dispersion.

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