On the Quality of Order Books of European Multilateral Trading Facilities
Type
case study
Date Issued
2018-11-23
Author(s)
SIX, BMLL Technologies, ior/cf-HSG
Abstract
The competition among European Multilateral Trading Facilities is steadily increasing with high-frequency trading and new regulations. SIX is of course part of this competition. Therefore, in July 2016 SIX launched an independent research cooperation between the Institute of Operations Research and Computational Finance at the University of St.Gallen (ior/cf-HSG) and BMLL Technologies. The focus has been set on the implementation of performance indicators, which help assess the quality of order books, of the resulting equity trading, respectively, as well as on its application to trading with Swiss Blue Chips.
Language
English
Subject(s)
File(s)![Thumbnail Image]()
Name
Orderbook Quality for Swiss Bluechips in Europe.pdf
Size
248.97 KB
Format
Adobe PDF
Checksum (MD5)
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