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Abstract
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
- © 2014 Pageant Media Ltd
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Optimal Execution Size in Pro-Rata
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