منابع مشابه
High-Frequency Trading
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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 adjusted return have significant drawbacks. In particular, they are global indices, that is they do not preserve any local information about the performance dynamics either in time or for a particular ...
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...
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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 ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2433118