Optimal Execution Strategies Incorporating Internal Liquidity Through Market Making
Optimal Execution Strategies Incorporating Internal Liquidity Through Market Making ArXiv ID: 2501.07581 “View on arXiv” Authors: Unknown 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.\cite{“cartea2015algorithmic”} 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. ...