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Modelling Asset Prices for Algorithmic and High-Frequency Trading
Applied Mathematical Finance, 2013 Algorithmic trading (AT) and high-frequency (HF) trading, which are responsible for over 70% of US stocks trading volume, have greatly changed the microstructure dynamics of tick-by-tick stock data.
Álvaro Cartea, Sebastian Jaimungal
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Communications of the ACM, 2013
The competitive nature of AT, the scarcity of expertise, and the vast profits potential, makes for a secretive community where implementation details are difficult to find.
Philip C. Treleaven +2 more
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The competitive nature of AT, the scarcity of expertise, and the vast profits potential, makes for a secretive community where implementation details are difficult to find.
Philip C. Treleaven +2 more
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Insider trading and the algorithmic trading environment
International Review of Finance, 2021AbstractWe examine how algorithmic trading (AT) changes the trading environment for corporate insiders, specifically in terms of motivation to trade and timing of trade. Using SEC Form 4 insider filings and AT computed from the limit order book, we find that AT affects insiders' decisions to buy or sell, depending on whether the trades are information ...
Millicent Chang +4 more
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, 2014 The diploma thesis is focused on algorithmic trading. In the first part the theoretical background is summarized. This part is particularly focused on definition of algorithmic trading, execution mechanisms, quantitative strategies, including problems ...
Uherek, Jiří
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Mispricing and Algorithm Trading
Information Systems ResearchThis study relaxes the efficient market hypothesis by introducing a model that accounts for initial mispricing and explores the effects of algorithmic trading. The research finds that algorithmic strategies can cause significant market volatility and affect financial stability, particularly when they amplify overpricing, leading to bubbles and crashes.
Lihong Zhang, Xiaoquan (Michael) Zhang
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2015 IEEE 13th International Symposium on Intelligent Systems and Informatics (SISY), 2015
Although many of the world's markets have rebounded since the crash of 2008, it is believed a major correction is overdue. Some even claim that the markets are rigged in favor of those who employ high speed fiber network connections with the exchanges to front run trades.
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Although many of the world's markets have rebounded since the crash of 2008, it is believed a major correction is overdue. Some even claim that the markets are rigged in favor of those who employ high speed fiber network connections with the exchanges to front run trades.
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2013
Preface ix CHAPTER 1 Backtesting and Automated Execution 1 CHAPTER 2 The Basics of Mean Reversion 39 CHAPTER 3 Implementing Mean Reversion Strategies 63 CHAPTER 4 Mean Reversion of Stocks and ETFs 87 CHAPTER 5 Mean Reversion of Currencies and Futures 107 CHAPTER 6 Interday Momentum Strategies 133 CHAPTER 7 Intraday Momentum Strategies 155 CHAPTER 8 ...
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Preface ix CHAPTER 1 Backtesting and Automated Execution 1 CHAPTER 2 The Basics of Mean Reversion 39 CHAPTER 3 Implementing Mean Reversion Strategies 63 CHAPTER 4 Mean Reversion of Stocks and ETFs 87 CHAPTER 5 Mean Reversion of Currencies and Futures 107 CHAPTER 6 Interday Momentum Strategies 133 CHAPTER 7 Intraday Momentum Strategies 155 CHAPTER 8 ...
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SSRN Electronic Journal, 2012
This study examines the impact of corporate earnings announcements on trading activity and speed of price adjustment, analyzing algorithmic and non–algorithmic trades during the immediate period pre– and post– corporate earnings announcements. We confirm that algorithms react faster and more correctly to announcements than non–algorithmic traders ...
Alex Frino +4 more
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This study examines the impact of corporate earnings announcements on trading activity and speed of price adjustment, analyzing algorithmic and non–algorithmic trades during the immediate period pre– and post– corporate earnings announcements. We confirm that algorithms react faster and more correctly to announcements than non–algorithmic traders ...
Alex Frino +4 more
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The Anatomy of Trading Algorithms
SSRN Electronic Journal, 2019We study the anatomy of four widely used institutional trading algorithms representing $675 billion in demand from 961 institutions. Parent orders generate hundreds of child orders which strategically employ price, time-in-force, and display priority rules to navigate the tradeoff between trading and minimizing transaction costs.
Tyler Beason, Sunil Wahal
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The Journal of Investment Strategies, 2012
The problem of universal sequential investment in stock markets is considered. We construct an algorithmic trading strategy that is asymptotically at least as good as any trading strategy that is not excessively complex and that computes the investment at each step using a fixed continuous function of the side information.
Vladimir V. V’yugin +1 more
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The problem of universal sequential investment in stock markets is considered. We construct an algorithmic trading strategy that is asymptotically at least as good as any trading strategy that is not excessively complex and that computes the investment at each step using a fixed continuous function of the side information.
Vladimir V. V’yugin +1 more
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