Intention-Disguised algorithmic trading

Authors:
William Yuen;Paul Syverson;Zhenming Liu;Christopher Thorpe
Affiliations:
Harvard University;Naval Research Laboratory;Harvard University;Harvard University
Venue:
FC'10 Proceedings of the 14th international conference on Financial Cryptography and Data Security
Year:
2010

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Abstract

Large market participants (LMPs) must often execute trades while keeping their intentions secret. Sometimes secrecy is required before trades are completed to prevent other traders from anticipating (and exploiting) the price impact of their trades. This is known as “front-running”. In other cases, LMPs with proprietary trading strategies wish to keep their positions secret even after trading because their strategies and positions contain valuable information. LMPs include hedge funds, mutual funds, and other specialized market players.