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sharpe_machine


Total Posts: 28
Joined: Feb 2018
 
Posted: 2019-10-09 18:21
Talking about US equities and trading around Opening Auction.

Could you please point me to some research/papers which outline some techniques to minimize impact when participating in opening auction?

Also, does anyone have a pdf version of a paper by ITG "Trading around the open"?

Thanks.

goldorak


Total Posts: 1062
Joined: Nov 2004
 
Posted: 2019-10-09 18:48
Attached File: Trading_Around_the_Open-ITG.pdf

If you are not living on the edge you are taking up too much space.

sharpe_machine


Total Posts: 28
Joined: Feb 2018
 
Posted: 2019-10-10 11:02
Thanks, very helpful. @goldorak
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