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Statistical Arbitrage Pairs Trading with High-frequency Data
, 2017 Johannes Stübinger, Jens Bredthauer
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SSRN Electronic Journal, 2011
High-frequency trading (HFT) has recently drawn massive public attention fuelled by the U.S. May 6, 2010 flash crash and the tremendous increases in trading volumes of HFT strategies. Indisputably, HFT is an important factor in markets that are driven by sophisticated technology on all layers of the trading value chain.
Peter Gomber +3 more
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High-frequency trading (HFT) has recently drawn massive public attention fuelled by the U.S. May 6, 2010 flash crash and the tremendous increases in trading volumes of HFT strategies. Indisputably, HFT is an important factor in markets that are driven by sophisticated technology on all layers of the trading value chain.
Peter Gomber +3 more
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High-Frequency Trading Strategies
Management Science, 2017We examine the effect of high-frequency trading on market quality from the perspective of a limit order trader. By competing with slower limit order traders, high-frequency traders impose a welfare externality by selectively crowding out the most profitable limit orders.
Michael Goldstein +2 more
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High Frequency Trading: Una Panoramica (High Frequency Trading: An Overview)
SSRN Electronic Journal, 2013Nel seguente lavoro si propone un’analisi dei sistemi di trading ad alta frequenza (Hft); il fenomeno ha avuto origine e si e sviluppato sul mercato azionario statunitense, ma, nel corso degli ultimi anni si sta progressivamente espandendo alla maggioranza delle asset class sui principali mercati finanziari globali.
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Liquidity Suppliers and High Frequency Trading
SSRN Electronic Journal, 2013Following [\textit{U. Çetin} et al., Finance Stoch. 8, No. 3, 311--341 (2004; Zbl 1064.60083)] the authors consider a market in which limit orders are represented via a function \(S(t,x)\) modeling the unit price at time \(t\) for an order of size \(x\).
Jarrow, Robert, Protter, Philip
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High Frequency Trading and Fundamental Trading
SSRN Electronic Journal, 2017I develop a multi-period trading model to analyze how a fundamental trader adjusts his trading strategies and information production decisions to the existence of high frequency trading (HFT). I show that these decisions differ strongly depending on the type of information that the HFT can observe.
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Strategic liquidity provision in high-frequency trading
International Review of Financial Analysis, 2019We construct a Kyle (1985)-type market model in which fast and slow traders are present. After deriving the equilibrium condition described as a simultaneous equation system, we will perform numerical calculations. A major finding is that the fast trader who has an advantage in trade frequency acts as a liquidity provider, in that he takes the opposite
Takaki Hayashi, Katsumasa Nishide
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Algorithmic trading and high frequency trading /
2017Thesis (PhD(Finance and related studies A))--University of South Australia, 2017. Includes bibliographical references (pages 121-135) This thesis provides one standalone survey essay and three empirical essays on algorithmic trading (AT) and its effect on market qualities.
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