Optimal Execution Strategies Incorporating Internal Liquidity Through Market Making
Abstract
This paper introduces a new algorithmic execution model that integrates interbank limit and market orders with internal liquidity generated through market making. Based on the Cartea et al.cartea2015algorithmic framework, we incorporate market impact in interbank orders while excluding it for internal market-making transactions. Our model aims to optimize the balance between interbank and internal liquidity, reducing market impact and improving execution efficiency.
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