Algorithmic and high-frequency trading in Borsa Istanbul

Crashes and high frequency trading: an evaluation of risks posed by high-speed algorithmic trading

High-Frequency Trading

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Algorithmic Trading and Information

We examine algorithmic trades (AT) and their role in the price discovery process in the 30 DAX stocks on the Deutsche Boerse in January 2008. AT liquidity demand represents 52% of volume and AT supplies liquidity on 50% of volume. AT act strategically by monitoring the market for liquidity and deviations of price from fundamental value. AT consume liquidity when it is cheap and supply liquidity...

Minisymposium on High Frequency Trading

Saturday, March 25th R MORNING SESSION, Chair: Sergey Nadtochiy 9:00am-10:00am Sebastian Jaimungal (University of Toronto) 10:00am-10:30am Coffee break 10:30am-11:30am Kevin Li (Tower research Capital, New York) 11:30pm-1:30pm Lunch break R AFTERNOON SESSION, Chair: Sebastian Jaimungal 1:30pm-2:30pm Ciamac Moallemi (Columbia University) 2:30pm-3:00pm Coffee break 3:00pm-4:00pm Sasha Stoikov (Co...

Distance-based High-frequency Trading

The present paper approaches high-frequency trading from a computational science perspective, presenting a pattern recognition model to predict price changes of stock market assets. The technique is based on the feature-weighted Euclidean distance to the centroid of a training cluster. A set of micro technical indicators, traditionally employed by professional scalpers, is used in this setting....