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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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How Does High-Frequency Trading Affect Low-Frequency Trading?
Journal of Behavioral Finance, 2017High-frequency trading dominates trading in financial markets. How it affects the low-frequency trading, however, is still unclear.
Kun Li, Rick Cooper, Ben Van Vliet
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Make-take decisions under high-frequency trading competition
Journal of financial markets, 2019The make-take preferences of investors depend on high-frequency trading (HFT) competition, under which HFT firms endogenously acquire speed and informational advantages.
A. Bernales
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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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Review of Statistical Approaches for Modeling High-Frequency Trading Data
Sankhya B, 2022C. Dutta +3 more
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