Search Results - subject:"algorithmic trading"

Regulating high frequency trading : a micro-level analysis of spatial behavior, optimal choices, and Pareto-efficiency in high speed markets

Müller, Camillo von - 2012

The present paper considers the issue of High Frequency Trading (HFT) regulation. Rather than discussing macro-level effects of HFT that are still under debate (Sornette & Von der Becke, 2011) its analysis focuses on the issue of regulation from the perspective of HFT firms. Assuming that HFT...

Persistent link: https://www.econbiz.de/10009788239

Nonlinearity in forecasting of high-frequency stock returns

Reboredo, Juan Carlos; Matías, José M.; … - In: Computational economics 40 (2012) 3, pp. 245-264

Persistent link: https://www.econbiz.de/10010219501

Trading venue decision of private online investors

Kundisch, Dennis - In: International journal of electronic finance : IJEF 6 (2012) 2, pp. 103-120

Persistent link: https://www.econbiz.de/10009619512

A dysfunctional role of high frequency trading in electronic markets

Jarrow, Robert A.; Protter, Philip E. - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-15

Persistent link: https://www.econbiz.de/10009624489

A limit order book model for latency arbitrage

Cohen, Samuel N.; Szpruch, Lukasz - In: Mathematics and financial economics 6 (2012) 3, pp. 211-227

Persistent link: https://www.econbiz.de/10009624627

Integrating the top-down apporach in a simulated trading program

Huffman, Stephan P.; Beyer, Scott B.; Schellenger, … - In: Managerial finance 38 (2012) 9, pp. 860-872

Persistent link: https://www.econbiz.de/10009632442

Curbing the dangers of high-frequency trading

Clements, Matthew T. - In: The Economists' voice 9 (2012) 1, pp. 1-3

Persistent link: https://www.econbiz.de/10009633471

Latency, liquidity and price discovery

Riordan, Ryan; Storkenmaier, Andreas - In: Journal of financial markets 15 (2012) 4, pp. 416-437

Persistent link: https://www.econbiz.de/10009655268

Who cancels in electronic markets?

Garvey, Ryan; Wu, Fei - In: Applied economics letters 19 (2012) 10/12, pp. 1161-1164

Persistent link: https://www.econbiz.de/10009656832

Missing in asynchronicity : a Kalman-EM approach for multivariate realized covariance estimation

Corsi, Fulvio; Peluso, Stefano; Audrino, Francesco - 2012

Persistent link: https://www.econbiz.de/10009719912