منابع مشابه
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...
متن کاملHigh-Frequency Trading
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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 most “aggressive” of such practices, and arrive at figures that are surprisingly modest. By “aggressive” we mean any trading strategy employing market orders on both position entry and exit, and re...
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 ...
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ژورنال
عنوان ژورنال: International Journal of Engineering Applied Sciences and Technology
سال: 2020
ISSN: 2455-2143
DOI: 10.33564/ijeast.2020.v04i11.023