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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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High-Frequency Technical Trading
2015This chapter investigates the profitability of technical trading rules applied to high-frequency data across two time periods: (1) periods of increased market volatility; and (2) periods of the market's upward trend. The analysis utilizes 5-min data for the S&P 500 Index and the VIX (Chicago Board Options Exchange Market Volatility Index) from 2011 to ...
Giangreco, Antonio +2 more
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Capability Satisficing in High Frequency Trading
SSRN Electronic Journal, 2016Abstract This paper explains the capability theory of how HFT firms make allocation decisions under uncertainty, and shows how capability maximization is precisely consistent with utility theory. The issue, however, is how these firms actually make allocation decisions in practice.
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Common innovation is the contribution of ordinary people to innovation and the wealth of nations. Innovation and wealth creation are not merely the monopoly of business. While Schumpeter described business innovation as a, ‘perennial gale of creative destruction’, common innovation is more a, ‘gentle and benign breeze’.
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Algorithmic Trading and High-Frequency Trading (HFT)
2017Abstract This chapter analyses the MiFID II rules on algorithmic trading (AT), including high-frequency trading (HFT). The author argues that AT raises serious issues of volatility and systemic risk, and HFT issues of systematic front-running of investors.
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