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Harvard University,

By William Yuen, Paul Syverson and Zhenming Liu


We propose a general model underlying the problem of designing trading strategies that leak no information to frontrunners and other exploiters. We study major scenarios in the market and design a family of algorithms that can be proven to leak no information in important scenarios. These algorithms can serve as building blocks for more challenging real-world scenarios beyond our current scope. In contrast to previous work, the strategies we propose protect trader using the existing trading infrastructure.

Year: 2011
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