Year: 2023
Type: preprint
Abstract: This work is about optimal order execution, where a large order is split into several small orders to maximize the implementation shortfall. Based on the diversity of cryptocurrency exchanges, we attempt to extract cross-exchange signals by aligning data from multiple exchanges for the first time. Unlike most previous studies that focused on using single-exchange information, we discuss the impact of cross-exchange signals on the agent's decision-making in the optimal execution problem. Experimental results show that cross-exchange signals can provide additional information for the optimal execution of cryptocurrency to facilitate the optimal execution process.
Authors: Zheng, Cong, He, Jiafa, Yang, Can
Institution: Hong Kong University of Science and Technology
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W4383045303