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High Frequency Trading: análise de retorno, volume e volatilidade
Faces: Revista de Administração, 2018 O artigo tem o objetivo de analisar a relação entre a volatilidade dos preços e volume na bolsa de valores brasileira em momentos antes e pós-iniciação das estratégias HFT.
Alcides Carlos de Araújo +1 more
doaj +1 more source
High Frequency Trading and Mini Flash Crashes [PDF]
, 2012 We analyse all Mini Flash Crashes (or Flash Equity Failures) in the US equity markets in the four most volatile months during 2006-2011. In contrast to previous studies, we find that Mini Flash Crashes are the result of regulation framework and market ...
Golub, Anton +2 more
core +2 more sources
Algorithmic and high-frequency trading in Borsa Istanbul
Borsa Istanbul Review, 2016 This paper investigates the levels of algorithmic trading (AT) and high-frequency trading (HFT) in an emerging market, Borsa Istanbul (BIST), utilizing a dataset of 354 trading days between January 2013 and May 2014.
Oguz Ersan, Cumhur Ekinci
doaj +1 more source
Econometrics, 2023 Time-series data, which exhibit a low signal-to-noise ratio, non-stationarity, and non-linearity, are commonly seen in high-frequency stock trading, where the objective is to increase the likelihood of profit by taking advantage of tiny discrepancies in ...
Chengyu Li, Luyi Shen, Guoqi Qian
doaj +1 more source
The Random Walk of High Frequency Trading [PDF]
, 2014 This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold.
Aldrich, Eric M. +2 more
core +2 more sources
Algorithmic Finance and (Limits to) Governmentality: On Foucault and High-Frequency Trading
Genealogy+Critique, 2017 In this essay I discuss algorithmic finance, specifically the use of fully automated trading, including high-frequency trading, in the light of Michel Foucault's notion of governmentality.
Christian Borch
doaj +2 more sources
Il framework della negoziazione algoritmica introdotto da MiFID II e l’importanza del processo di autovalutazione e convalida [PDF]
Risk Management Magazine, 2020 In the last years, technological progress and financial innovation have promoted the development of investment activities based on the use of trading algorithms, enabling cost reduction along with a more efficient management of trading activities.
Carlo Frazzei +3 more
doaj +1 more source
Competition among liquidity providers with access to high-frequency trading technology
Journal of Financial Economics, 2021 We model endogenous technology adoption and competition among liquidity providers with access to High-Frequency Trading (HFT) technology. HFT technology provides speed and informational advantages.
Dion Bongaerts, M. Achter
semanticscholar +1 more source
Modern trends of electronic trading by negotiable financial instruments
Vìsnik Žitomirsʹkogo Deržavnogo Tehnologìčnogo Unìversitetu: Ekonomìčnì Nauki, 2018 International negotiable financial instrument markets have a high level of electronic trading. It is displayed using the consolidated limit order book, the widening the range of trading orders, smart order routing, high speed access to the market on the ...
I.Kravchuk
doaj +1 more source
Rise of the machines? Intraday high-frequency trading patterns of cryptocurrencies [PDF]
European Journal of Finance, 2020 This research analyses high-frequency data of the cryptocurrency market in regards to intraday trading patterns related to algorithmic trading and its impact on the European cryptocurrency market.
Alla Petukhina +2 more
semanticscholar +1 more source