High frequency trading holds a rapidly growing
interest both for researchers and financial investment entities.
Finding better order execution rates is an intriguing problem.
For brokers trading large orders, the effect of order size and the
market’s trend and volatility are crucial for order scheduling.
The cumulated order quantity of these institutional traders
usually represents a big proportion of the daily trading volume,
requiring sophisticated order splitting mechanisms to reduce
market impact. This paper proposes a new framework for high
frequency order execution using a novel way of momentum
analysis which makes use of fuzzy logic reasoning mechanisms.
The suggested order placement algorithm also considers the
market’s intraday volatility to minimize trading costs.