By Kuzman Ganchev, Yuriy Nevmyvaka, Michael Kearns, Jennifer Wortman Vaughan
Communications of the ACM,
May 2010,
Vol. 53 No. 5, Pages 99-107
10.1145/1735223.1735247 Comments
The success and proliferation of dark pool stock exchanges have created challenging and interesting problems in algorithmic trading—in particular, the problem of optimizing the allocation of a large trade over multiple competing dark pools.
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