Optimal Execution Strategies Incorporating Internal Liquidity Through Market Making

2024/12/28 by Yusuke Morimoto, Morimoto, Yusuke · 1 citation
Economics, Econometrics and Finance · #FOS: Economics and business #FOS: Mathematics #Financial Markets and Investment Strategies #Market Dynamics and Volatility #Probability (math.PR) #Trading and Market Microstructure (q-fin.TR)

paper · pdf · doi:10.48550/arxiv.2501.07581

openalex publication_date 2024/12/28 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.\citecartea2015algorithmic 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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• FX Market Making with Internal Liquidity

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