Search Results - subject:"algorithmic trading"

How High Frequency Trading Affects a Market Index

Kenett, Dror Y. - 2013

The relationship between a market index and its constituent stocks is complicated. While an index is a weighted average of its constituent stocks, when the investigated time scale is one day or longer the index has been found to have a stronger effect on the stocks than vice versa. We explore...

Persistent link: https://www.econbiz.de/10013079544

High Frequency Trading and the Risk Monitoring of Automated Trading

Fernandez, Robert - 2013

The High Frequency Trading evolution underlines three keys questions: -How High Frequency traders could improve risk management tools to manage operational risks (algorithm issues) and market risks (price manipulation, liquidity and volatility)?-How stocks markets (and brokers-dealers) could...

Persistent link: https://www.econbiz.de/10013079936

The Cost of Latency in High-Frequency Trading

Moallemi, Ciamac C. - 2013

Modern electronic markets have been characterized by a relentless drive towards faster decision making. Signiﬁcant technological investments have led to dramatic improvements in latency, the delay between a trading decision and the resulting trade execution. We describe a theoretical model for...

Persistent link: https://www.econbiz.de/10013094991

Exchange Rate Management in Emerging Markets : Intervention via an Electronic Limit Order Book

Melvin, Michael - 2013

This paper describes and analyzes the implementation of a crawling exchange rate band on an electronic trading platform. The placement of limit orders at the central bank's target rate serves as a credible policy statement that may coordinate beliefs of market participants. We find for our...

Persistent link: https://www.econbiz.de/10013095898

Where is the Value in High Frequency Trading?

Cartea, Álvaro - 2013

We analyze the impact of high frequency (HF) trading in financial markets based on a model with three types of traders: liquidity traders (LTs), professional traders (PTs), and high frequency traders (HFTs). Our four main findings are: i) The price impact of liquidity trades is higher in the...

Persistent link: https://www.econbiz.de/10013092875

Equilibrium High Frequency Trading

Foucault, Thierry - 2013

context and show that, for a given level of algorithmic trading, multiple equilibria can arise, some of which generate market … "flash-crash" of may 2010. Next, we analyze the equilibrium level of investment in algorithmic trading. Because when others … involves fixed costs, investment in algorithmic trading is more pro table for large institutions than for small ones. This …

Persistent link: https://www.econbiz.de/10013093481

The $4 Trillion Question : What Explains FX Growth Since the 2007 Survey?

King, Michael R. - 2013

algorithmic trading …

Persistent link: https://www.econbiz.de/10013094040

Missing in Asynchronicity : A Kalman-EM Approach for Multivariate Realized Covariance Estimation

Corsi, Fulvio; Peluso, Stefano; Audrino, Francesco - 2013

Motivated by the need of an unbiased and positive-semidefinite estimator of multivariate realized covariance matrices, we model noisy and asynchronous ultra-high-frequency asset prices in a state-space framework with missing data. We then estimate the covariance matrix of the latent states...

Persistent link: https://www.econbiz.de/10014173246

Execution Methods in Foreign Exchange Markets

Gallardo, Paola; Heath, Alexandra - 2013

Over the past decade or so, the spread of electronic trading has brought about significant changes in the structure of the interbank foreign exchange markets and the relationship between foreign exchange dealers and their clients. This article looks at the way foreign exchange transactions are...

Persistent link: https://www.econbiz.de/10014200289

A robust neighborhood truncation approach to estimation of integrated quarticity

Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - 2013

Persistent link: https://www.econbiz.de/10009735127