Weakly inefficient markets: Stability of high-frequency trading strategies
نویسندگان
چکیده
منابع مشابه
Failure of Genetic-Programming Induced Trading Strategies: Distinguishing between Efficient Markets and Inefficient Algorithms
Over the last decade, numerous papers have investigated the use of Genetic Programming (GP) for creating financial trading strategies. Typically, in the literature, the results are inconclusive but the investigators always suggest the possibility of further improvements, leaving the conclusion regarding the effectiveness of GP undecided. In this paper, we discuss a series of pretests aimed at g...
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The financial services industry is among the leading industries in IT-spending. Still, little research exists which investigates how IT influences the financial services sector. Against this background, we study how a technology which emerged within the last years affects securities trading: High-Frequency Trading (HFT). Hereby, we focus on HFT and its impact on market efficiency. On the basis ...
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the “Flash crash” of 6 may 2010 amplified the debate over the relative merits of HFt, which has preoccupied market participants and regulators for years . Since the advent of HFt, order-to-trade ratios and the volume of daily messages have increased dramatically: the toronto Stock exchange (tSX) order-to-trade ratio more than quadrupled between January 2005 and april 2011 (Chart 1) . this incre...
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Models Traders' values and information typically consist of both private and commonvalue elements. In such environments, full allocative efficiency is impossible when the private rate of information substitution differs from the social rate (Jehiel and Moldovanu, 2001). We link this impossibility result to a failure of the efficient market hypothesis, which states that prices adequately reflect...
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ژورنال
عنوان ژورنال: Lithuanian Journal of Physics
سال: 2012
ISSN: 1648-8504
DOI: 10.3952/physics.v52i2.2355