منابع مشابه
High-Frequency Trading
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متن کاملMinisymposium 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...
متن کاملDistance-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....
متن کاملHigh Frequency Trading: A Simulation
for t = 1, ..., N . σ represents the volatility of the price, and ξk ∼ N (0; 1). ht represents the net sale volumes of all liquid providing HFT funds. g(v) is the price impact function, which we will discuss later. Based on findings by the Federal Commodity Futures Trading Commission (CFTC) [3], we model the price impact of HFTs using the volume of net trades from HFTs scaled by its percentage ...
متن کاملCoevolution of Technical Trading Rules for High Frequency Trading
.Traders make trade decisions specifying entry, exit, and stop loss prices. Technicians often decide on entry, exit, and stop loss prices based on a predefined set of technical rules. In this paper, we employ a method based on grammatical evolution to coevolve technical rules for entry, exit, and stop loss for trading a London Stock Exchange (LSE) based stock in high frequency. We consider the ...
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ژورنال
عنوان ژورنال: Journal of Financial and Quantitative Analysis
سال: 2018
ISSN: 0022-1090,1756-6916
DOI: 10.1017/s0022109018001175