RT Journal Article
SR Electronic
T1 Optimal Execution Size in Pro-Rata<br/>Markets
JF The Journal of Trading
FD Institutional Investor Journals
SP 43
OP 50
DO 10.3905/jot.2014.9.2.043
VO 9
IS 2
A1 Irene Aldridge
YR 2014
UL https://pm-research.com/content/9/2/43.abstract
AB Several exchanges in futures and options deploy pro-rata matching. Unlike execution in price-time priority matching systems, the executed size of limit orders in pro-rata markets is uncertain. This article derives the optimal size of limit orders in pro-rata markets given the trader’s desired execution size.TOPICS: Options, exchanges/markets/clearinghouses