Search Results - subject:"algorithmic trading"

The high-frequency trading arms race : frequent batch auctions as a market design response

Budish, Eric B.; Cramton, Peter C.; Shim, John - In: The quarterly journal of economics 130 (2015) 4, pp. 1547-1621

Persistent link: https://www.econbiz.de/10011457858

The impact of trading floor closure on market efficiency: evidence from the Toronto Stock Exchange

Chung, Dennis Y.; Hrazdil, Karel - In: Applied economics 47 (2015) 55/57, pp. 6102-6119

Persistent link: https://www.econbiz.de/10011381033

Are Classical Option Pricing Models Consistent with Observed Option Second-Order Moments? Evidence from High-Frequency Data

Audrino, Francesco - 2015

As a means of validating an option pricing model, we compare the ex-post intra-day realized variance of options with the realized variance of the associated underlying asset that would be implied using assumptions as in the Black and Scholes (BS) model, the Heston and the Bates model. Based on...

Persistent link: https://www.econbiz.de/10013035674

Automation, Speed, and Stock Market Quality : The NYSE's Hybrid

Hendershott, Terrence - 2015

Automation and trading speed are increasingly important aspects of competition among financial markets. Yet we know little about how changing a market's automation and speed affects the cost of immediacy and price discovery, two key dimensions of market quality. At the end of 2006 the New York...

Persistent link: https://www.econbiz.de/10013038154

Trading and electronic markets : what investment professionals need to know

Harris, Larry - 2015

A taxonomy of why people trade -- Implications of the zero-sum game -- Transaction cost measurement and management -- Electronic trading -- Practitioner and regulatory issues associated with fast electronic markets

Persistent link: https://www.econbiz.de/10012313856

High-frequency trading and probability

Wang, Zhaodong; Zheng, Weian - 2015

Persistent link: https://www.econbiz.de/10012875779

Beyond Regulation : A Cooperative Approach to High Frequency Trading and Financial Market Monitoring

Bell, Holly - 2015

Some people are concerned that existing market structure regulation and liquidity incentives have skewed financial markets in favor of algorithmic and high-frequency trading (HFT). This type of market activity involves the use of computer programs to automatically trade securities in financial...

Persistent link: https://www.econbiz.de/10013012226

FINRA proposes requiring registration of associated persons who develop algorithmic trading strategies

Angstadt, Janet M.; Foley, Michael T.; Pazzol, Ross; … - In: Journal of Investment Compliance 16 (2015) 3, pp. 33-36

-member firms who are primarily responsible for the design, development or significant modification of an algorithmic trading …

Persistent link: https://www.econbiz.de/10014893772

Financial innovation : FIN

Heidelberg : SpringerOpen - 1.2015 -

Persistent link: https://www.econbiz.de/10011280848

Assessing the impact of algorithmic trading on markets: A simulation approach

Gsell, Markus - 2008

Innovative automated execution strategies like Algorithmic Trading gain significant market share on electronic market … presented that provides stylized implementations of algorithmic trading behavior and allows for modeling latency. As simulations … allow for reproducing exactly the same basic situation, an assessment of the impact of algorithmic trading models can be …

Persistent link: https://www.econbiz.de/10010303731