HIGH-FREQUENCY TRADING
|
|
|
- Barnaby O’Neal’
- 7 years ago
- Views:
Transcription
1 HIGH-FREQUENCY TRADING SECOND EDITION A Practical Guide to Algorithmic Strategies and Trading Systems Irene Aldridge WILEY
2 Preface Acknowledgments XI xiii CHAPTER 1 How Modern Markets Differ from Those Past. 1 Media, Modern Markets, and HFT 6 HFT as Evolution of Trading Methodology ' 7 What Is High-Frequency Trading? 13 What Do High-Frequency Traders Do? 15 How Many High-Frequency Traders Are There? 17 Major Players in the HFT Space 17 Organization of This Book CHAPTER 2 Technological Innovations, Systems, and HFT 21 A Brief History of Hardware 21 Messaging 25 Software. ' CHAPTER 3 Market Microstructure, Orders, and Limit Order Books 37, Types of Markets 37 1 Limit Order Books x 39 Aggressive versus Passive Execution 43 Complex Orders 44 Trading Hours 45 Modern Microstructure: Market Convergence and Divergence 46
3 Fragmentation in Equities 46 Fragmentation in Futures 50 Fragmentation in Options 51 Fragmentation in Forex 51 Fragmentation in Fixed Income 51 Fragmentation in Swaps CHAPTER 4 High-Frequency Data S3 What Is High-Frequency Data? 53 How Is High-Frequency Data Recorded? 54 Properties of High-Frequency Data 56 High- Frequency Data Are Voluminous 57 High-Frequency Data Are Subject to the Bid-Ask Bounce 59 High-Frequency Data Are Not Normal or Lognormal 62 High-Frequency Data Are Irregularly Spaced in Time 62 Most High-Frequency Data Do Not Contain Buy-and-Sell Identifiers 70 ", Ill CHAPTER 5 Trading Costs 75 Overview of Execution Costs 75 Transparent Execution Costs, 76 Implicit Execution Costs 78 Background and Definitions 82 Estimation of Market Impact 85 Empirical Estimation of Permanent Market Impact CHAPTER 6 Performance and Capacity of High-Frequency Trading Strategies 97 Principles of Performance Measurement 97 Basic Performance Measures 98 Comparative Ratios 106 Performance Attribution 110 Capacity Evaluation 112 Alpha Decay ~- 116 CHAPTER 7 The Business of High-Frequency Trading 117 Key Processes of HFT 117
4 Financial Markets Suitable for HFT Economics of HFT Market Participants CHAPTER 8 Statistical Arbitrage Strategies Practical Applications of Statistical Arbitrage End- of- Chapter Questions CHAPTER 9 Directional Trading Around Events Developing Directional Event-Based Strategies What Constitutes an Event? Forecasting Methodologies Tradable News Application of Event Arbitrage CHAPTER 10 Automated Market Making Naive Inventory Models Introduction Market Making: Key Principles Simulating a Market-Making Strategy Naive Market-Making Strategies Market Making as a Service Profitable Market Making CHAPTER 11 Automated Market Making II What's in the Data? Modeling Information in Order Flow CHAPTER 12 Additional HFT Strategies, Market Manipulation, and Market Crashes Latency Arbitrage Spread Scalping Rebate Capture Quote Matching Layering Ignition t ix n 0 z z
5 CHAPTER 13 Regulation Pinging/ Sniping/ Sniffing/ Phishing Quote Stuffing Spoofing Pump-and-Dump Machine Learning Key Initiatives of Regulators Worldwide CHAPTER 14 Risk Management of HFT Measuring HFT Risk CHAPTER 15 Minimizing Market Impact Why Execution Algorithms? Order-Routing Algorithms Issues with Basic Models Advanced Models Practical Implementation of Optimal Execution Strategies CHAPTER 16 Implementation of HFT Systems Model Development Life Cycle System Implementation Testing Trading Systems About the Author About the Web Site References Index
High Frequency Trading Background and Current Regulatory Discussion
2. DVFA Banken Forum Frankfurt 20. Juni 2012 High Frequency Trading Background and Current Regulatory Discussion Prof. Dr. Peter Gomber Chair of Business Administration, especially e-finance E-Finance
FINANCIER. An apparent paradox may have emerged in market making: bid-ask spreads. Equity market microstructure and the challenges of regulating HFT
REPRINT FINANCIER WORLDWIDE JANUARY 2015 FINANCIER BANKING & FINANCE Equity market microstructure and the challenges of regulating HFT PAUL HINTON AND MICHAEL I. CRAGG THE BRATTLE GROUP An apparent paradox
High Frequency Trading + Stochastic Latency and Regulation 2.0. Andrei Kirilenko MIT Sloan
High Frequency Trading + Stochastic Latency and Regulation 2.0 Andrei Kirilenko MIT Sloan High Frequency Trading: Good or Evil? Good Bryan Durkin, Chief Operating Officer, CME Group: "There is considerable
From Traditional Floor Trading to Electronic High Frequency Trading (HFT) Market Implications and Regulatory Aspects Prof. Dr. Hans Peter Burghof
From Traditional Floor Trading to Electronic High Frequency Trading (HFT) Market Implications and Regulatory Aspects Prof. Dr. Hans Peter Burghof Universität Hohenheim Institut für Financial Management
High frequency trading
High frequency trading Bruno Biais (Toulouse School of Economics) Presentation prepared for the European Institute of Financial Regulation Paris, Sept 2011 Outline 1) Description 2) Motivation for HFT
The Lee Kong Chian School of Business Academic Year 2014 /15 Term 2
The Lee Kong Chian School of Business Academic Year 2014 /15 Term 2 QF 206 QUANTITATIVE TRADING STRATEGIES Instructor Name : Christopher Ting Title : Associate Professor of Quantitative Finance Practice
ELECTRONIC TRADING GLOSSARY
ELECTRONIC TRADING GLOSSARY Algorithms: A series of specific steps used to complete a task. Many firms use them to execute trades with computers. Algorithmic Trading: The practice of using computer software
G100 VIEWS HIGH FREQUENCY TRADING. Group of 100
G100 VIEWS ON HIGH FREQUENCY TRADING DECEMBER 2012 -1- Over the last few years there has been a marked increase in media and regulatory scrutiny of high frequency trading ("HFT") in Australia. HFT, a subset
Machine Learning and Algorithmic Trading
Machine Learning and Algorithmic Trading In Fixed Income Markets Algorithmic Trading, computerized trading controlled by algorithms, is natural evolution of security markets. This area has evolved both
Forecasting Trade Direction and Size of Future Contracts Using Deep Belief Network
Forecasting Trade Direction and Size of Future Contracts Using Deep Belief Network Anthony Lai (aslai), MK Li (lilemon), Foon Wang Pong (ppong) Abstract Algorithmic trading, high frequency trading (HFT)
Market Microstructure & Trading Universidade Federal de Santa Catarina Syllabus. Email: rgencay@sfu.ca, Web: www.sfu.ca/ rgencay
Market Microstructure & Trading Universidade Federal de Santa Catarina Syllabus Dr. Ramo Gençay, Objectives: Email: rgencay@sfu.ca, Web: www.sfu.ca/ rgencay This is a course on financial instruments, financial
High-frequency trading, flash crashes & regulation Prof. Philip Treleaven
High-frequency trading, flash crashes & regulation Prof. Philip Treleaven Director, UCL Centre for Financial Computing UCL Professor of Computing www.financialcomputing.org p.treleaven@ucl.ac.uk Normal
Algorithmic Trading, High-Frequency Trading and Colocation: What does it mean to Emerging Market?
Algorithmic Trading, High-Frequency Trading and Colocation: What does it mean to Emerging Market? Ashok Jhunjhunwala, IIT Madras ashok@tenet.res.in HFTs are being pushed out of the more established markets,
EXAMINING THE REVOLUTION: HOW TECHNOLOGY IS CHANGING THE TRADING LANDSCAPE. R-Finance Conference May 11, 2012 Chicago, IL Blair Hull
EXAMINING THE REVOLUTION: HOW TECHNOLOGY IS CHANGING THE TRADING LANDSCAPE R-Finance Conference May 11, 2012 Chicago, IL Blair Hull INTRODUCTION Evolution of the trading business Role of Market Structure
FI report. Investigation into high frequency and algorithmic trading
FI report Investigation into high frequency and algorithmic trading FEBRUARY 2012 February 2012 Ref. 11-10857 Contents FI's conclusions from its investigation into high frequency trading in Sweden 3 Background
Trading. Theory and Practice
Professional Automated Trading Theory and Practice EUGENE A. DURENARD WILEY Contents Preface xv CHAPTffi 1 introductiofl to Systematic Tradlns 1 1.1 Definition of Systematic Trading 2 1.2 Philosophy of
FESE Input to the Commission High Frequency Trading
FESE AISBL Avenue de Cortenbergh, 52 B-1000 Brussels VAT: BE0878.308.670 Tel.: +32 2 551 01 80 Fax : +32 2 512 49 05 FESE Input to the Commission High Frequency Trading Brussels, 23 February 2010 General
Financial Econometrics and Volatility Models Introduction to High Frequency Data
Financial Econometrics and Volatility Models Introduction to High Frequency Data Eric Zivot May 17, 2010 Lecture Outline Introduction and Motivation High Frequency Data Sources Challenges to Statistical
Algorithmic Trading & DMA An introduction to direct access trading strategies.
An introduction to direct access trading strategies. By Barry Johnson Contents Preface Part I An overview of trading and markets XIII 1 1 Overview 1.1 1.2 Fundamentals 1.3 Core execution methods 1.4 Institutional
Fast Trading and Prop Trading
Fast Trading and Prop Trading B. Biais, F. Declerck, S. Moinas (Toulouse School of Economics) December 11, 2014 Market Microstructure Confronting many viewpoints #3 New market organization, new financial
White Paper Electronic Trading- Algorithmic & High Frequency Trading. PENINSULA STRATEGY, Namir Hamid
White Paper Electronic Trading- Algorithmic & High Frequency Trading PENINSULA STRATEGY, Namir Hamid AUG 2011 Table Of Contents EXECUTIVE SUMMARY...3 Overview... 3 Background... 3 HIGH FREQUENCY ALGORITHMIC
Heightened Bond Liquidity Risk is the New Normal. Shushanik Papanyan Senior Economist BBVA Research USA
Heightened Bond Liquidity Risk is the New Normal Shushanik Papanyan Senior Economist BBVA Research USA Houston, TX September 10, 2015 The Signs of Weakened Liquidity The erosion of liquidity is more of
HFT and the Hidden Cost of Deep Liquidity
HFT and the Hidden Cost of Deep Liquidity In this essay we present evidence that high-frequency traders ( HFTs ) profits come at the expense of investors. In competing to earn spreads and exchange rebates
This paper sets out the challenges faced to maintain efficient markets, and the actions that the WFE and its member exchanges support.
Understanding High Frequency Trading (HFT) Executive Summary This paper is designed to cover the definitions of HFT set by regulators, the impact HFT has made on markets, the actions taken by exchange
High-frequency trading
Economics & politics Research Briefing February 7, 2011 High-frequency trading Better than its reputation? Over the past years, high-frequency trading has progressively gained a foothold in financial markets,
The Ethics of High Frequency Trading
The Ethics of High Frequency Trading Laure Madonna 1 Abstract: High frequency trading (HFT) is currently under a cloud of controversy about its negative impact on financial markets. Questions arise over
High Frequency Trading An Asset Manager s Perspective
NBIM Discussion NOTE #1-2013 High Frequency Trading An Asset Manager s Perspective In this note we review the rapidly expanding literature in the area of market microstructure, high frequency and computer-based
An objective look at high-frequency trading and dark pools May 6, 2015
www.pwc.com/us/investorresourceinstitute An objective look at high-frequency trading and dark pools May 6, 2015 An objective look at high-frequency trading and dark pools High-frequency trading has been
High-frequency trading: towards capital market efficiency, or a step too far?
Agenda Advancing economics in business High-frequency trading High-frequency trading: towards capital market efficiency, or a step too far? The growth in high-frequency trading has been a significant development
Carlos Lenczewski. The role of high-frequency traders in the foreign exchange market bid-ask spreads. Working paper Ec-01/16 Department of Economics
Carlos Lenczewski The role of high-frequency traders in the foreign exchange market bid-ask spreads Working paper Ec-01/16 Department of Economics St. Petersburg 2016 УДК 330.35 ББК 65.012.2 L46 Европейский
Toxic Arbitrage. Abstract
Toxic Arbitrage Thierry Foucault Roman Kozhan Wing Wah Tham Abstract Arbitrage opportunities arise when new information affects the price of one security because dealers in other related securities are
CFTC Technology Advisory Committee Sub-Committee on Automated and High Frequency Trading Working Group 1 Participants
CFTC Technology Advisory Committee Sub-Committee on Automated and High Frequency Trading Working Group 1 Participants Joan Manley, George Pullen CFTC Sean Castette Getco LLC Colin Clark NYSE Euronext Chris
Contents. List of Figures. List of Tables. List of Examples. Preface to Volume IV
Contents List of Figures List of Tables List of Examples Foreword Preface to Volume IV xiii xvi xxi xxv xxix IV.1 Value at Risk and Other Risk Metrics 1 IV.1.1 Introduction 1 IV.1.2 An Overview of Market
Throttling hyperactive robots - Message to trade ratios at the Oslo Stock Exchange
Throttling hyperactive robots - Message to trade ratios at the Oslo Stock Exchange Kjell Jørgensen, b,d Johannes Skjeltorp a and Bernt Arne Ødegaard d,c a Norges Bank b Norwegian Business School (BI) c
MiFID II: Microstructural Issues
MiFID II: Microstructural Issues October 2015 CONTENTS A. HIGH FREQUENCY TRADERS B. TRADING VENUES C. PROVIDING DIRECT ELECTRONIC ACCESS D. MARKET MAKING STRATEGIES 02 MiFID II: Microstructural Issues
High Frequency Trading and Its Impact on the Performance of Other Investors
Arhus University Business and Social Sciences High Frequency Trading and Its Impact on the Performance of Other Investors Evidence from the Copenhagen Stock Exchange Master Thesis Authors: Karolis Liaudinskas
A practical guide to FX Arbitrage
A practical guide to FX Arbitrage FX Arbitrage is a highly debated topic in the FX community with many unknowns, as successful arbitrageurs may not be incentivized to disclose their methodology until after
Fast Aggressive Trading
Fast Aggressive Trading Richard Payne Professor of Finance Faculty of Finance, Cass Business School Global Association of Risk Professionals May 2015 The views expressed in the following material are the
Throttling hyperactive robots - Message to trade ratios at the Oslo Stock Exchange
Throttling hyperactive robots - Message to trade ratios at the Oslo Stock Exchange Kjell Jørgensen, b,d Johannes Skjeltorp a and Bernt Arne Ødegaard d,c a Norges Bank b Norwegian Business School (BI) c
Introduction to Trading
Introduction to Trading Certificate Programme The Introduction to Trading programme provides participants with market practice and hands on trading, which will immerse the delegate in the world of dealing.
What is High Frequency Trading?
What is High Frequency Trading? Released December 29, 2014 The impact of high frequency trading or HFT on U.S. equity markets has generated significant attention in recent years and increasingly in the
FX Options and Smile Risk_. Antonio Castagna. )WILEY A John Wiley and Sons, Ltd., Publication
FX Options and Smile Risk_ Antonio Castagna )WILEY A John Wiley and Sons, Ltd., Publication Preface Notation and Acronyms IX xiii 1 The FX Market 1.1 FX rates and spot contracts 1.2 Outright and FX swap
Equity Market Structure Literature Review. Part II: High Frequency Trading
Equity Market Structure Literature Review Part II: High Frequency Trading By Staff of the Division of Trading and Markets 1 U.S. Securities and Exchange Commission March 18, 2014 1 This review was prepared
High Level Overview of Certain Key Regulatory Changes in Risk Management Trading in Europe *
High Level Overview of Certain Key Regulatory Changes in Risk Management for Electronic Securities Trading in Europe * * This paper presents the interpretation of FTEN. Inc. related to certain issues pertaining
Automated Trading in Treasury Markets June 2015
Automated Trading in Treasury Markets June 2015 This document is available on the Treasury Market Practices Group website, www.newyorkfed.org/tmpg. June 2015 Automated Trading in Treasury Markets In recent
SPECIAL REPORT SERIES: MARKET INFRASTRUCTURE UNDER MIFID II
SPECIAL REPORT SERIES: MARKET INFRASTRUCTURE UNDER MIFID II 13 June 2014 This Special Report is the fourth in FIA and FIA Europe s series covering specific areas of the European Securities and Markets
Technology Advisory Committee
Technology Advisory Committee Subcommittee on Automated and High Frequency Trading Working Group 3 Oversight, Surveillance and Economic Analysis 6-20-2012 Working Group 3 Topics Tagging Attributes Assessment
US Futures Trading 2012: Buy-Side Demands in an Evolving Marketplace
US Futures Trading 2012: Buy-Side Demands in an Evolving Marketplace February 2012 Executive Summary Author: Matthew Simon Futures markets are about to become a lot more competitive. As buy-side portfolio
Algorithmic Trading Briefing Note. April 2015
COMPTROLLER OF THE CURRENCY Senior Supervisors Group Algorithmic Trading Briefing Note April 2015 1863 TABLE OF CONTENTS I. Introduction and Market Evolution... 1 II. Key Risks...2 III. Key Control Principles
Client Update CFTC Proposes Rules Regulating Automated Trading
1 Client Update CFTC Proposes Rules Regulating Automated Trading NEW YORK Byungkwon Lim blim@debevoise.com Aaron J. Levy ajlevy@debevoise.com On November 24, 2015, the Commodity Futures Trading Commission
High-Frequency Trading
High-Frequency Trading Peter Gomber, Björn Arndt, Marco Lutat, Tim Uhle Chair of Business Administration, especially e-finance E-Finance Lab Prof. Dr. Peter Gomber Campus Westend RuW P.O. Box 69 D-60629
Liquidity Cycles and Make/Take Fees in Electronic Markets
Liquidity Cycles and Make/Take Fees in Electronic Markets Thierry Foucault (HEC, Paris) Ohad Kadan (Washington U) Eugene Kandel (Hebrew U) April 2011 Thierry, Ohad, and Eugene () Liquidity Cycles & Make/Take
The Fallout from Flash Boys
Michael Lewis novel Liar s Poker is required reading for any aspiring trader. The entertaining novel follows his career at Salomon Brothers and also the role that firm played in creating mortgage bonds
- JPX Working Paper - Analysis of High-Frequency Trading at Tokyo Stock Exchange. March 2014, Go Hosaka, Tokyo Stock Exchange, Inc
- JPX Working Paper - Analysis of High-Frequency Trading at Tokyo Stock Exchange March 2014, Go Hosaka, Tokyo Stock Exchange, Inc 1. Background 2. Earlier Studies 3. Data Sources and Estimates 4. Empirical
Market Structure Overview. Goldman Sachs September, 2009
Market Structure Overview Goldman Sachs September, 2009 Summary The US equities market is increasingly efficient and is broadly regarded as the best in the world. Spreads are reduced, execution costs are
Chinese University of Hong Kong Conference on HKEx and the Market Structure Revolution
Chinese University of Hong Kong Conference on HKEx and the Market Structure Revolution The Impact of Market Structure Changes on Securities Exchanges Regulation 31 March 2012 Keith Lui Executive Director,
Financial Markets and Institutions Abridged 10 th Edition
Financial Markets and Institutions Abridged 10 th Edition by Jeff Madura 1 12 Market Microstructure and Strategies Chapter Objectives describe the common types of stock transactions explain how stock transactions
ELECTRONIC TRADING AND FINANCIAL MARKETS
November 29, 2010 Bank of Japan ELECTRONIC TRADING AND FINANCIAL MARKETS Speech at the Paris EUROPLACE International Financial Forum in Tokyo Kiyohiko G. Nishimura Deputy Governor of the Bank of Japan
FE670 Algorithmic Trading Strategies. Stevens Institute of Technology
FE670 Algorithmic Trading Strategies Lecture 10. Investment Management and Algorithmic Trading Steve Yang Stevens Institute of Technology 11/14/2013 Outline 1 Algorithmic Trading Strategies 2 Optimal Execution
The Impact of High Frequency Trading on the Canadian Market
The Impact of High Frequency Trading on the Canadian Market July 22, 2009 Quantitative Execution Services (416) 359-5743 qes@bmo.com Doug Clark (416) 359-4151 doug.clark@bmo.com Rizwan Awan, CFA (416)
International Investments
2008 AGI-Information Management Consultants May be used for personal purporses only or by libraries associated to dandelon.com network. International Investments Bruno Solnik H.E.C. SCHOOL of MANAGEMENT
Brennan Hughes Partner WWFIRS, LLC 312.924.1458 bhughes@wwfirs.com
Brennan Hughes Partner WWFIRS, LLC 312.924.1458 bhughes@wwfirs.com A program trading platform that uses powerful computers to transact a large number of orders at very fast speeds. High-frequency trading
Increased Scrutiny of High-Frequency Trading
Increased Scrutiny of High-Frequency Trading Posted by Noam Noked, co-editor, HLS Forum on Corporate Governance and Financial Regulation, on Friday May 23, 2014 Editor s Note: The following post comes
AlphaTrader Environment
03/04/2015 1 Introduction AlphaTrader Environment Professional leading edge technology to amplify your alpha More than just a platform, AlphaTrader is an entire trading environment AlphaTrader: real time
TRADING VENUE LIQUIDITY
TRADING VENUE LIQUIDITY IT S QUALITY, NOT QUANTITY, THAT MATTERS AUTHORS Mike Smith, Partner Benjamin Smith, Partner Daniela Peterhoff, Partner Quinton Goddard, Principal CHANGING THE GAME The concept
FX Trading: The Next Generation FX Trading and Technology Trends in 2010
FX Trading: The Next Generation FX Trading and Technology Trends in 2010 Emily Fraser Voigt, Freelance Journalist Table of Contents 3 FX Trading and Technology Trends in 2010 Survey 5 Broker Systems 7
Trading Stocks in America: Key Policy Issues. Trading and Market Structure Issues from the Buyside Perspective
Trading Stocks in America: Key Policy Issues Trading and Market Structure Issues from the Buyside Perspective The Brookings Institution January 30, 2014 Ari Burstein, Senior Counsel - Capital Markets Investment
Pricing Liquidity in Electronic Markets
Pricing Liquidity in Electronic Markets Foresight Driver Review Foresight Horizon Scanning Centre, Government Office for Science Contents Executive summary... 3 Introduction... 3 Maker-taker pricing and
Throttling hyperactive robots - Message to trade ratios at the Oslo Stock Exchange
Throttling hyperactive robots - Message to trade ratios at the Oslo Stock Exchange Kjell Jørgensen, Johannes Skjeltorp and Bernt Arne Ødegaard February 2014 Abstract We use the introduction of a cost on
Index tracking UNDER TRANSACTION COSTS:
MARKE REVIEWS Index tracking UNDER RANSACION COSS: rebalancing passive portfolios by Reinhold Hafner, Ansgar Puetz and Ralf Werner, RiskLab GmbH Portfolio managers must be able to estimate transaction
High frequency trading: The application of advanced trading technology in the European marketplace
High frequency trading: The application of advanced trading technology in the European marketplace Netherlands Authority for the Financial Markets The AFM promotes fairness and transparency on the financial
(Risk and Return in High Frequency Trading)
The Trading Profits of High Frequency Traders (Risk and Return in High Frequency Trading) Matthew Baron Princeton University Jonathan Brogaard University of Washington Andrei Kirilenko CFTC 8th Annual
Market Microstructure: An Interactive Exercise
Market Microstructure: An Interactive Exercise Jeff Donaldson, University of Tampa Donald Flagg, University of Tampa ABSTRACT Although a lecture on microstructure serves to initiate the inspiration of
Trader Boot Camp Commodity Futures and Index Options
Trader Boot Camp Commodity Futures and Index Options ICE Education and The Trader Training Company (TTC) have combined their expertise in Energy Markets, high frequency finance and electronic trading to
Exploratory Trading. Theory and Evidence. Adam Clark-Joseph. November 8, 2013. University of Illinois at Urbana-Champaign
Theory Empirics Testing the Hypothesis Additional Materials Theory and Evidence University of Illinois at Urbana-Champaign November 8, 2013 Disclaimer Introduction Theory Empirics Testing the Hypothesis
Empirical Limitations on High Frequency Trading Profitability
Empirical Limitations on High Frequency Trading Profitability Michael Kearns, Alex Kulesza, Yuriy Nevmyvaka Computer and Information Science University of Pennsylvania Abstract Addressing the ongoing examination
Discussion of The Returns to Currency Speculation
Discussion of The Returns to Currency Speculation John H. Cochrane January 5, 2007 UIP Uk interest rate = 5%, US interest rate = 2%. Invest in UK? 1. Naive: Yes, Make 3% more 2. Traditional: No, Pound
AN ANALYSIS OF EXISTING ARTIFICIAL STOCK MARKET MODELS FOR REPRESENTING BOMBAY STOCK EXCHANGE (BSE)
AN ANALYSIS OF EXISTING ARTIFICIAL STOCK MARKET MODELS FOR REPRESENTING BOMBAY STOCK EXCHANGE (BSE) PN Kumar Dept. of CSE Amrita Vishwa Vidyapeetham Ettimadai, Tamil Nadu, India pn_kumar@cb.amrita.edu
The structure and quality of equity trading and settlement after MiFID
Trends in the European Securities Industry Milan, January 24, 2011 The structure and quality of equity trading and settlement after MiFID Prof. Dr. Peter Gomber Chair of Business Administration, especially
Kiyohiko G Nishimura: Financial factors in commodity markets
Kiyohiko G Nishimura: Financial factors in commodity markets Speech by Mr Kiyohiko G Nishimura, Deputy Governor of the Bank of Japan, at the Paris EUROPLACE International Financial Forum, Tokyo, 28 November
Automated Trading in Treasury Markets White Paper
Automated Trading in Treasury Markets White Paper In recent years, electronic trading has taken on an increasingly prominent role in the U.S. Treasury market, beyond the Treasury futures market, where
Algorithmic Trading Session 1 Introduction. Oliver Steinki, CFA, FRM
Algorithmic Trading Session 1 Introduction Oliver Steinki, CFA, FRM Outline An Introduction to Algorithmic Trading Definition, Research Areas, Relevance and Applications General Trading Overview Goals
High-Frequency Trading (HFT)
PhD - Quantitative Researcher Link to download PDFs to be announced at https://www.facebook.com/congreso.deactuaria February 14, 2014 Outline 1 What is HFT? 2 3 4 1 What is HFT? 2 3 4 The rise of HFT I
HFT and Market Quality
HFT and Market Quality BRUNO BIAIS Directeur de recherche Toulouse School of Economics (CRM/CNRS - Chaire FBF/ IDEI) THIERRY FOUCAULT* Professor of Finance HEC, Paris I. Introduction The rise of high-frequency
High-frequency trading and the execution costs of institutional investors
Highfrequency trading and the execution costs of institutional investors Driver Review Foresight, Government Office for Science Highfrequency trading and the execution costs of institutional investors
WGM Services Ltd Authorisation No: 203/13
[Type text] WGM Services Ltd Authorisation No: 203/13 February 2015 Order Execution Policy Table of Contents 1.0 INTRODUCTION... 2 2.0 SCOPE AND SERVICES... 2 3.0 ORDER TYPE DEFINITIONS... 3 Buy Stop...
MiFID II Trading Venues And High Frequency Trading
MiFID II Trading Venues And High Frequency Trading MiFID II Trading Venues And High Frequency Trading This is the third part in a series of Legal Longs on the MiFID II Directive [2014/65/EU] and the Markets
Electronic trading under MiFID-II
Electronic trading under MiFID-II Piebe B. Teeboom December 1, 2015 Agenda MiFID-II work at ESMA: level 2 & 3 Algo trading: Recap key points from level-1 Overview of MiFID-II initiatives regarding algo
High Frequency Trading: Evolution and the Future
Capital Markets the way we see it High Frequency Trading: Evolution and the Future How the emergence of high frequency trading is altering the financial landscape as firms look to make money on the millisecond
Surveillance of algorithmic trading
Surveillance of algorithmic trading A proposal for how to monitor trading algorithms Lars-Ivar Sellberg Executive Chairman, MSc Electrical Engineering/IT BA Financial Economics Copyright 2009-2013. All
Stock Trading Systems: A Comparison of US and China. April 30, 2016 Session 5 Joel Hasbrouck www.stern.nyu.edu/~jhasbrou
Stock Trading Systems: A Comparison of US and China April 30, 2016 Session 5 Joel Hasbrouck www.stern.nyu.edu/~jhasbrou 1 1. Regulatory priorities for capital formation and growth. 2 The information environment
POLICY PLATFORM. High-Frequency Trading. White Paper. Peter Gomber, Björn Arndt, Marco Lutat, Tim Uhle E-Finance Lab. April 2011
POLICY PLATFORM White Paper High-Frequency Trading Peter Gomber, Björn Arndt, Marco Lutat, Tim Uhle E-Finance Lab April 2011 Policy Platform House of Finance Goethe-Universität Frankfurt Grüneburgplatz
Proposed Guidance on Certain Manipulative and Deceptive Trading Practices
Rules Notice Request for Comments UMIR Please distribute internally to: Institutional Legal and Compliance Senior Management Trading Desk Contact: Naomi Solomon Senior Policy Counsel, Market Regulation
What Constitutes Algo Trading in the Stock Options Market? A discussion of Mishra, Daigler, & Holowczak
What Constitutes Algo Trading in the Stock Options Market? A discussion of Mishra, Daigler, & Holowczak Liuren Wu Baruch College Stern Microstructure Meeting June 1, 2012 Liuren Wu (Baruch) Algo Trading
High frequency trading, information, and profits
High frequency trading, information, and profits The Future of Computer Trading in Financial Markets - Foresight Driver Review DR 10 Contents High frequency trading, information, and profits...4 Abstract...5
The Welfare Effects of Financial Innovation: High Frequency Trading in Equity Markets
The Welfare Effects of Financial Innovation: High Frequency Trading in Equity Markets Emiiliano S. Pagnotta (NYU Stern), Thomas Philippon (NYU Stern) December 2010 I wish somebody would give me some shred
Can algorithmic trading beat the market? An experiment with S&P 500, FTSE 100, OMX Stockholm 30 Index
Can algorithmic trading beat the market? An experiment with S&P 500, FTSE 100, OMX Stockholm 30 Index Master s thesis within finance Author: Ilya Kiselev Tutor: Andreas Stephan Jönköping August 2012 Acknowledgement
Maker/taker pricing and high frequency trading
Maker/taker pricing and high frequency trading Economic Impact Assessment EIA12 Foresight, Government Office for Science Contents 1. Objective... 3 2. Background... 3 3. Existing make/take fee structure...
High-Frequency Trading. A Workers Capital Briefing
High-Frequency Trading A Workers Capital Briefing September 2012 About the ACTU The Australian Council of Trade Unions (ACTU) is the nation s peak body for organised labour, representing Australian workers
Introduction to Financial Models for Management and Planning
CHAPMAN &HALL/CRC FINANCE SERIES Introduction to Financial Models for Management and Planning James R. Morris University of Colorado, Denver U. S. A. John P. Daley University of Colorado, Denver U. S.