منابع مشابه
Intention-Disguised Algorithmic Trading
We propose a general model underlying the problem of designing trading strategies that leak no information to frontrunners and other exploiters. We study major scenarios in the market and design a family of algorithms that can be proven to leak no information in important scenarios. These algorithms can serve as building blocks for more challenging real-world scenarios beyond our current scope....
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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...
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Bandwidth services as they have evolved over the last years can increasingly be seen as a commodity. Multiple network operators have comparable offerings and compete for customers. This fuelled the foundation of bandwidth brokerage and bandwidth trading companies in the late 90s. Unfortunately, their business models where not very successful in the past. Besides the overall economic weakness at...
متن کاملDoes Algorithmic Trading Improve Liquidity
Does Algorithmic Trading Improve Liquidity? Algorithmic trading has sharply increased over the past decade. Equity market liquidity has improved as well. Are the two trends related? For a recent five-year panel of New York Stock Exchange (NYSE) stocks, we use a normalized measure of electronic message traffic as a proxy for algorithmic liquidity supply and trace the associations between liquidi...
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An order book consists of a list of all buy and sell offers, represented by price and quantity, available to a market agent. The order book changes rapidly, within fractions of a second, due to new orders being entered into the book. The volume at a certain price level may increase due to limit orders, i.e. orders to buy or sell placed at the end of the queue, or decrease because of market orde...
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ژورنال
عنوان ژورنال: ACM Transactions on Algorithms
سال: 2007
ISSN: 1549-6325,1549-6333
DOI: 10.1145/1186810.1186820