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The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response
Arms Race Frequent Batch
2015/9/18
The high-frequency trading arms race is a symptom of flawed market design. Instead
of the continuous limit order book market design that is currently predominant, we argue
that financial...
Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets
market timing empirical alpha process unobserved portfolio strategies martingale system behavioural finance high frequency trading Brownian bridge Jensen’salpha portable alpha
2012/9/14
We introduce a trade strategy representation theorem for performance measurement and portable alpha in high fre-quency trading, by embedding a robust trading algorithm that describe portfolio manager ...
Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information
Market making limit order book pro-rata microstructure inventory risk marked point process stochastic control
2012/6/4
We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader has the c...
Is high-frequency trading inducing changes in market microstructure and dynamics?
financial markets algorithmic trading self-similarity
2010/10/20
Using high-frequency time series of stock prices and share volumes sizes from January 2002-May 2009, this paper investigates whether the effects of the onset of high-frequency trading, most prominent...
Empirical Limitations on High Frequency Trading Profitability
Empirical Limitations High Frequency Trading Profitability
2010/10/21
Addressing the ongoing examination of high-frequency trading practices in financial markets, we report the results of an extensive empirical study estimating the maximum possible profitability of the...
Local Risk Decomposition for High-frequency Trading Systems
Financial Markets Risk Multi-scale Systems Complex Systems
2010/11/1
In the present work we address the problem of evaluating the historical performance of a trading strategy or a certain portfolio of assets. Common indicators such as the Sharpe ratio and the risk adju...