Results 1 to 10 of about 28,871 (249)
High-frequency trading and networked markets [PDF]
Proceedings of the National Academy of Sciences of the United States of America, 2021 Significance During the last two decades, technological innovation and regulatory requirements have deeply changed the way financial markets work. Today, financial markets are characterized by the presence of high-frequency traders (able to perform financial transactions at a submillisecond time scale) and market fragmentation.
Jyrki Piilo +2 more
exaly +5 more sources
The adaptive market hypothesis and high frequency trading. [PDF]
PLoS ONE, 2021 This paper uses NASDAQ order book data for the S&P 500 exchange traded fund (SPY) to examine the relationship between one-minute, informational market efficiency and high frequency trading (HFT).
Ke Meng, Shouhao Li
doaj +2 more sources
Applied Computer Science, 2023 This study presents a method for testing high-frequency trading (HFT) for algorithms on GPUs using kernel parallelization, code vectorization, and multidimensional matrices.
Mantas VAITONIS +1 more
doaj +3 more sources
High Frequency Trading and Fragility [PDF]
SSRN Electronic Journal, 2016 We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions: traders demand more liquidity when the market becomes less liquid, which in turn makes ...
Cespa, Giovanni, Vives, Xavier
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High-Frequency Trading Competition [PDF]
SSRN Electronic Journal, 2014 Les auteurs analysent la dynamique des échanges après que des entreprises qui font des transactions à haute fréquence eurent commencé successivement à négocier des titres sur le marché des actions. Les nouveaux venus rivalisent avec les acteurs déjà présents pour obtenir plus de volume, ce qui entraîne un effet d’éviction.
Brogaard, Jonathan +2 more
openaire +2 more sources
Development of high-frequency volatility estimators in pricing and trading stock options
π-Economy, 2022 Asset return volatility plays a key role in derivative pricing and hedging, risk management and portfolio allocation decisions. This study examined the economic benefit of high-frequency volatility estimators (measures realized) in option pricing and ...
Gayomey John, Zaytsev Andrey
doaj +1 more source
High-Frequency Trading and Institutional Trading Costs [PDF]
SSRN Electronic Journal, 2018 Au moyen de données relatives au marché des contrats à terme sur obligations du Canada, nous examinons les interactions entre les opérateurs qui pratiquent la négociation à haute fréquence et les investisseurs institutionnels qui prennent d’importantes positions sur ces contrats.
Chen, Marie, Garriott, Corey
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High-Frequency Trading and Price Discovery [PDF]
Review of Financial Studies, 2013 We examine the role of high-frequency traders (HFTs) in price discovery and price efficiency. Overall HFTs facilitate price efficiency by trading in the direction of permanent price changes and in the opposite direction of transitory pricing errors, both on average and on the highest volatility days.
Jonathan Brogaard +2 more
openaire +4 more sources
Novel modelling strategies for high-frequency stock trading data
Financial Innovation, 2023 Full electronic automation in stock exchanges has recently become popular, generating high-frequency intraday data and motivating the development of near real-time price forecasting methods.
Xuekui Zhang +3 more
doaj +1 more source
Quantum computational quantitative trading: high-frequency statistical arbitrage algorithm
New Journal of Physics, 2022 Quantitative trading is an integral part of financial markets with high calculation speed requirements, while no quantum algorithms have been introduced into this field yet.
Xi-Ning Zhuang +3 more
doaj +1 more source