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Author : Jakub Rojček
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (1 download)
Download or read book Market Quality and Price Impact of High-frequency Trading and Its Regulation written by Jakub Rojček and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Frédéric Abergel
Publisher : John Wiley & Sons
ISBN 13 : 1119952786
Total Pages : 194 pages
Book Rating : 4.1/5 (199 download)
Download or read book Market Microstructure written by Frédéric Abergel and published by John Wiley & Sons. This book was released on 2012-04-03 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: The latest cutting-edge research on market microstructure Based on the December 2010 conference on market microstructure, organized with the help of the Institut Louis Bachelier, this guide brings together the leading thinkers to discuss this important field of modern finance. It provides readers with vital insight on the origin of the well-known anomalous "stylized facts" in financial prices series, namely heavy tails, volatility, and clustering, and illustrates their impact on the organization of markets, execution costs, price impact, organization liquidity in electronic markets, and other issues raised by high-frequency trading. World-class contributors cover topics including analysis of high-frequency data, statistics of high-frequency data, market impact, and optimal trading. This is a must-have guide for practitioners and academics in quantitative finance.
Author : Theo Lynn
Publisher : Springer
ISBN 13 : 3030023303
Total Pages : 194 pages
Book Rating : 4.0/5 (3 download)
Download or read book Disrupting Finance written by Theo Lynn and published by Springer. This book was released on 2018-12-06 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access Pivot demonstrates how a variety of technologies act as innovation catalysts within the banking and financial services sector. Traditional banks and financial services are under increasing competition from global IT companies such as Google, Apple, Amazon and PayPal whilst facing pressure from investors to reduce costs, increase agility and improve customer retention. Technologies such as blockchain, cloud computing, mobile technologies, big data analytics and social media therefore have perhaps more potential in this industry and area of business than any other. This book defines a fintech ecosystem for the 21st century, providing a state-of-the art review of current literature, suggesting avenues for new research and offering perspectives from business, technology and industry.
Author : Stefan Höppel
Publisher : diplom.de
ISBN 13 : 3954897199
Total Pages : 43 pages
Book Rating : 4.9/5 (548 download)
Download or read book High Frequency Trading: Economic Necessity or Threat to the Economy? written by Stefan Höppel and published by diplom.de. This book was released on 2014-02-01 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the last four decades, technological progress led to an electrification of stock trading systems. It was realized that the profitability of trading strategies could be increased by employing computer algorithms to trade autonomously. This led to the implementation of High Frequency Trading (HFT). Theoretically HFT should increase efficiency in financial markets but it seems that, at least under certain circumstances, it causes market instability. The aim of this paper is to discuss the effect of HFT on market quality and why HFT cannot be fully explained by the neoclassical theory of economics. Therefore, the controversial positions in literature will be presented and discussed. It is especially referred to the influence of HFT on liquidity, price discovery and volatility. Primarily, its negative effect on volatility seems to contravene the modern finance. Furthermore, in the course of this work it will be illustrated that, by employing strict regulation of financial markets, this negative impact cannot be reduced to a sufficient extent in order for HFT to be characterized as market optimizing, according to the neoclassical theory of economics.
Author : Paul Zubulake
Publisher : John Wiley & Sons
ISBN 13 : 1118019687
Total Pages : 177 pages
Book Rating : 4.1/5 (18 download)
Download or read book The High Frequency Game Changer written by Paul Zubulake and published by John Wiley & Sons. This book was released on 2011-02-16 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt: The financial industry's leading independent research firm's forward-looking assessment into high frequency trading Once regarded as a United States-focused trend, today, high frequency trading is gaining momentum around the world. Yet, while high frequency trading continues to be one of the hottest trends in the markets, due to the highly proprietary nature of the computer transactions, financial firms and institutions have made very little available in terms of information or "how-to" techniques. That's all changed with The High Frequency Game Changer: How Automated Trading Strategies Have Revolutionized the Markets. In the book, Zubulake and Lee present an overview of how high frequency trading is changing the face of the market. The book Explains how we got here and what it means to traders and investors Details how to build a high frequency trading firm, including the relevant tools, strategies, and trading talent Defines key components common to HFT such as algorithms, low latency trading infrastructure, collocation etc. The High Frequency Game Changer takes a highly controversial and extremely complicated subject and makes it accessible to anyone with an interest or stake in financial markets.
Author : Álvaro Cartea
Publisher : Cambridge University Press
ISBN 13 : 1316453650
Total Pages : 360 pages
Book Rating : 4.3/5 (164 download)
Download or read book Algorithmic and High-Frequency Trading written by Álvaro Cartea and published by Cambridge University Press. This book was released on 2015-08-06 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: The design of trading algorithms requires sophisticated mathematical models backed up by reliable data. In this textbook, the authors develop models for algorithmic trading in contexts such as executing large orders, market making, targeting VWAP and other schedules, trading pairs or collection of assets, and executing in dark pools. These models are grounded on how the exchanges work, whether the algorithm is trading with better informed traders (adverse selection), and the type of information available to market participants at both ultra-high and low frequency. Algorithmic and High-Frequency Trading is the first book that combines sophisticated mathematical modelling, empirical facts and financial economics, taking the reader from basic ideas to cutting-edge research and practice. If you need to understand how modern electronic markets operate, what information provides a trading edge, and how other market participants may affect the profitability of the algorithms, then this is the book for you.
Author : Saleem Arnuk
Publisher : FT Press
ISBN 13 : 0132875241
Total Pages : 317 pages
Book Rating : 4.1/5 (328 download)
Download or read book Broken Markets written by Saleem Arnuk and published by FT Press. This book was released on 2012 with total page 317 pages. Available in PDF, EPUB and Kindle. Book excerpt: The markets have evolved at breakneck speed during the past decade, and change has accelerated dramatically since 2007's disastrous regulatory "reforms." An unrelenting focus on technology, hyper-short-term trading, speed, and volume has eclipsed sanity: markets have been hijacked by high-powered interests at the expense of investors and the entire capital-raising process. A small consortium of players is making billions by skimming and scalping unaware investors -- and, in so doing, they've transformed our markets from the world's envy into a barren wasteland of terror. Since these events began, Themis Trading's Joe Saluzzi and Sal Arnuk have offered an unwavering voice of reasoned dissent. Their small brokerage has stood up against the hijackers in every venue: their daily writings are now followed by investors, regulators, the media, and "Main Street" investors worldwide. Saluzzi and Arnuk don't take prisoners! Now, in "Broken Markets," they explain how all this happened, who did it, what it means, and what's coming next. You'll understand the true implications of events ranging from the crash of 1987 to the "Flash Crash" -- and discover what it all means to you and your future. Warning: you will get angry (if you aren't already). But you'll know exactly "why" you're angry, "who" you're angry at, and "what" needs to be done!
Author : Haval Rawf Hamza
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.:/5 (927 download)
Download or read book The Impacts of High-frequency Trading on the Financial Markets' Stability written by Haval Rawf Hamza and published by . This book was released on 2015 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: High-frequency trading (HFT) is a new area in financial markets. The term HFT refers to a subset of algorithmic trading (AT). After Michael Lewis' book "Flash Boys" HFT has quickly become a term known to the general public. As the debate over HFT continues, many concerns about contributions of HFT to market quality are raised by market participants, media, regulators, academics, and general public. Although many studies have been conducted to understand high-frequency traders' (HFTs) behaviors and their market impacts, each study targeted a different market, therefore the conclusions cannot be generalized to markets which are organized differently. Nonetheless, by studying papers that examine different markets' samples, we can advance our understanding of HFTs' behaviors in a wider area, and we can generalize our conclusion on a higher level. This paper focuses on micro-structural effects of HFT on the financial markets. Throughout this paper, changes in liquidity, price discovery, transaction cost, volatility, and market fragmentation were discussed. A review of the literature showed that: first, HFTs play a constructive role in financial markets. They reduce the bid-ask spread, cut execution cost and facilitate price efficiency. HFTs' ability to avoid adverse selection and inventory management makes them successful in providing liquidity. Second, HFT and markets' volatility are positively correlated. However, it is not clear that this correlation is due to HFTs' algorithmic strategies nor speed of trading. Many researchers claim that speed of trading does not have any negative effects on the financial market. Hence, regulators are urged to focus more on the algorithmic strategies employed by HFTs in their regulations instead of speed of execution.
Author : Merritt B. Fox
Publisher : Columbia University Press
ISBN 13 : 023154393X
Total Pages : 612 pages
Book Rating : 4.2/5 (315 download)
Download or read book The New Stock Market written by Merritt B. Fox and published by Columbia University Press. This book was released on 2019-01-08 with total page 612 pages. Available in PDF, EPUB and Kindle. Book excerpt: The U.S. stock market has been transformed over the last twenty-five years. Once a market in which human beings traded at human speeds, it is now an electronic market pervaded by algorithmic trading, conducted at speeds nearing that of light. High-frequency traders participate in a large portion of all transactions, and a significant minority of all trade occurs on alternative trading systems known as “dark pools.” These developments have been widely criticized, but there is no consensus on the best regulatory response to these dramatic changes. The New Stock Market offers a comprehensive new look at how these markets work, how they fail, and how they should be regulated. Merritt B. Fox, Lawrence R. Glosten, and Gabriel V. Rauterberg describe stock markets’ institutions and regulatory architecture. They draw on the informational paradigm of microstructure economics to highlight the crucial role of information asymmetries and adverse selection in explaining market behavior, while examining a wide variety of developments in market practices and participants. The result is a compelling account of the stock market’s regulatory framework, fundamental institutions, and economic dynamics, combined with an assessment of its various controversies. The New Stock Market covers a wide range of issues including the practices of high-frequency traders, insider trading, manipulation, short selling, broker-dealer practices, and trading venue fees and rebates. The book illuminates both the existing regulatory structure of our equity trading markets and how we can improve it.
Author : Walter Mattli
Publisher : Oxford University Press, USA
ISBN 13 : 0198829469
Total Pages : 385 pages
Book Rating : 4.1/5 (988 download)
Download or read book Global Algorithmic Capital Markets written by Walter Mattli and published by Oxford University Press, USA. This book was released on 2019-01-03 with total page 385 pages. Available in PDF, EPUB and Kindle. Book excerpt: Global capital markets have undergone fundamental transformations in recent years and, as a result, have become extraordinarily complex and opaque. Trading space is no longer measured in minutes or seconds but in time units beyond human perception: milliseconds, microseconds, and even nanoseconds. Technological advances have thus scaled up imperceptible and previously irrelevant time differences into operationally manageable and enormously profitable business opportunities for those with the proper high-tech trading tools. These tools include the fastest private communication and trading lines, the most powerful computers and sophisticated algorithms capable of speedily analysing incoming news and trading data and determining optimal trading strategies in microseconds, as well as the possession of gigantic collections of historic and real-time market data. Fragmented capital markets are also becoming a rapidly growing reality in Europe and Asia, and are an established feature of U.S. trading. This raises urgent market governance issues that have largely been overlooked. Global Algorithmic Capital Markets seeks to understand how recent market transformations are affecting core public policy objectives such as investor protection and reduction of systemic risk, as well as fairness, efficiency, and transparency. The operation and health of capital markets affect all of us and have profound implications for equality and justice in society. This unique set of chapters by leading scholars, industry insiders, and regulators discusses ways to strengthen market governance for the benefit of society at whole.
Author : Maureen O'Hara
Publisher : John Wiley & Sons
ISBN 13 : 0631207619
Total Pages : 310 pages
Book Rating : 4.6/5 (312 download)
Download or read book Market Microstructure Theory written by Maureen O'Hara and published by John Wiley & Sons. This book was released on 1998-03-06 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by one of the leading authorities in market microstructure research, this book provides a comprehensive guide to the theoretical work in this important area of finance.
Author : Greg N. Gregoriou
Publisher : Academic Press
ISBN 13 : 0128023627
Total Pages : 495 pages
Book Rating : 4.1/5 (28 download)
Download or read book Handbook of High Frequency Trading written by Greg N. Gregoriou and published by Academic Press. This book was released on 2015-02-05 with total page 495 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive examination of high frequency trading looks beyond mathematical models, which are the subject of most HFT books, to the mechanics of the marketplace. In 25 chapters, researchers probe the intricate nature of high frequency market dynamics, market structure, back-office processes, and regulation. They look deeply into computing infrastructure, describing data sources, formats, and required processing rates as well as software architecture and current technologies. They also create contexts, explaining the historical rise of automated trading systems, corresponding technological advances in hardware and software, and the evolution of the trading landscape. Developed for students and professionals who want more than discussions on the econometrics of the modelling process, The Handbook of High Frequency Trading explains the entirety of this controversial trading strategy. Answers all questions about high frequency trading without being limited to mathematical modelling Illuminates market dynamics, processes, and regulations Explains how high frequency trading evolved and predicts its future developments
Author : Finn Samxon
Publisher : Paul Samson
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4./5 ( download)
Download or read book What is High Frequency Trading? written by Finn Samxon and published by Paul Samson. This book was released on 2024-06-21 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: What is High-Frequency Trading? In the ever-evolving world of financial markets, High-Frequency Trading (HFT) has emerged as a powerful and often misunderstood force. Characterized by the use of advanced algorithms and lightning-fast trading systems, HFT operates at speeds and volumes that were previously unimaginable. But what exactly is HFT, and how does it impact the markets? "What is High-Frequency Trading?" offers a comprehensive and accessible guide to understanding the intricacies of HFT. Whether you are a finance professional, a student, or simply someone interested in the mechanics of modern trading, this book aims to demystify HFT and provide valuable insights into its role in today's financial ecosystem. Inside This Book: Introduction to HFT: Explore the foundational concepts and history of high-frequency trading, including its evolution and significance in modern markets. Technology and Infrastructure: Gain a deeper understanding of the sophisticated technology that powers HFT, including high-performance computing, low-latency infrastructure, and real-time data feeds. Trading Strategies: Discover the common strategies employed by HFT firms, such as market making, arbitrage, momentum ignition, and liquidity detection. Key Players: Learn about the major HFT firms, their roles, and how they interact with other market participants. Market Impact: Analyze the effects of HFT on market liquidity, price discovery, volatility, transaction costs, and market access, supported by real-world case studies. Risks and Challenges: Understand the various risks associated with HFT, including technical failures, regulatory compliance, market manipulation, and the potential for flash crashes. Regulatory Environment: Explore the global regulatory frameworks governing HFT, the role of regulators, and the impact of regulation on HFT practices. Future Trends: Look ahead at the emerging technologies, potential regulatory changes, and evolving market structures that will shape the future of high-frequency trading. Why Read This Book? Written in a clear and engaging style, "What is High-Frequency Trading?" breaks down complex concepts into easily digestible information, making it an essential read for anyone looking to understand the fast-paced world of HFT. With detailed explanations, and practical insights, this book provides a thorough overview of HFT and its impact on financial markets. Whether you are new to the concept of high-frequency trading or seeking to deepen your existing knowledge, this book will equip you with the understanding needed to navigate and appreciate the complexities of HFT.
Author : Louis Müller
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (14 download)
Download or read book Implications of High-Frequency Trading on the Quality of Electronic Markets written by Louis Müller and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Technological advancements and regulatory changes facilitated the rise of high-frequency trading in recent years. This new trader type takes advantage of low latency technologies and sophisticated algorithms in order to obtain an edge over other market participants. Even though all high-frequency traders rely on speed, their strategies are extremely diverse. This thesis utilizes recent literature for the rigorous investigation of the effects of such strategies on two measures of market quality: price discovery and liquidity. At first sight, high-frequency trading appears to be beneficial to both qualities. However, after closer inspection it has deteriorating effects on the aggregated level of information. Furthermore, the liquidity provided by high-frequency traders is not as abundant as it seems, which poses substantial systemic risks for financial markets. This is particularly problematic due to the crowding-out of traditional market makers.
Author : Valeria Caivano
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Impact of High-Frequency Trading on Volatility. Evidence from the Italian Market written by Valeria Caivano and published by . This book was released on 2015 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: The huge increase of HFT activity in recent years has posed the crucial question of whether it is beneficial for financial markets to both researchers and regulators. Recent academic research has studied the impact of HFT on different measures of market quality, such as liquidity, transaction costs, market integrity and efficiency, though the results are sometimes non conclusive. This study focuses on the impact of HFT on stock price volatility over the period 2011-2013 for a sample of 35 blue chips traded on Borsa Italiana. High frequency traders (HFTrs) are identified according to two methods. The first one, based on public information on the trading strategies of market participants, led us to identify 14 traders (so called 'pure' HFT firms). The second one includes the main investment banks active in the European markets, since they carry out some proprietary trading which could take the form of HFT (as stemming from the evidence reported in ESMA, 2014). These approaches allow the identification of a lower and upper bound for the actual share of HFT on total trading volume. Potential endogeneity of HFT is controlled through an instrumental variable approach, using as an instrument the introduction of a new trading platform that eased the HFT activity by decreasing the latency. Results show that an exogenous increase of HFT activity causes a statistically and economically significant increase in volatility. In details, an increase by one standard deviation of HFT activity carried out by 'pure' HFT firms raises volatility by an amount between 0.5 and 0.8 standard deviations. This means that, if HFT activity increases by 10 percentage points the annualized intraday volatility increases by an amount between 4 and 6 percentage points depending on the specification used. If we also take into account the activity carried out by investment banks the impact of an increase by 10 percentage points of HFT activity leads to an increase of annualized volatility by an amount between 3 and 5 percentage points. This paper adds to the existing literature by providing new empirical evidence from the Italian market. Furthermore, it contributes to the policy debate, which had recently led the European regulators to introduce new rules aimed at mitigating possible negative effects of HFT.
Author : Irene Aldridge
Publisher : John Wiley and Sons
ISBN 13 : 0470579773
Total Pages : 258 pages
Book Rating : 4.4/5 (75 download)
Download or read book High-Frequency Trading written by Irene Aldridge and published by John Wiley and Sons. This book was released on 2009-12-22 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: A hands-on guide to the fast and ever-changing world of high-frequency, algorithmic trading Financial markets are undergoing rapid innovation due to the continuing proliferation of computer power and algorithms. These developments have created a new investment discipline called high-frequency trading. This book covers all aspects of high-frequency trading, from the business case and formulation of ideas through the development of trading systems to application of capital and subsequent performance evaluation. It also includes numerous quantitative trading strategies, with market microstructure, event arbitrage, and deviations arbitrage discussed in great detail. Contains the tools and techniques needed for building a high-frequency trading system Details the post-trade analysis process, including key performance benchmarks and trade quality evaluation Written by well-known industry professional Irene Aldridge Interest in high-frequency trading has exploded over the past year. This book has what you need to gain a better understanding of how it works and what it takes to apply this approach to your trading endeavors.
Author : Ingmar Nolte
Publisher : Routledge
ISBN 13 : 1317570774
Total Pages : 325 pages
Book Rating : 4.3/5 (175 download)
Download or read book High Frequency Trading and Limit Order Book Dynamics written by Ingmar Nolte and published by Routledge. This book was released on 2016-04-14 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address critical practical issues in these areas of research. Thirteen chapters, each of which makes a valuable and significant contribution to the existing literature have been brought together, spanning a wide range of topics including information asymmetry and the information content in limit order books, high-frequency return distribution models, multivariate volatility forecasting, analysis of individual trading behaviour, the analysis of liquidity, price discovery across markets, market microstructure models and the information content of order flow. These issues are central both to the rapidly expanding practice of high frequency trading in financial markets and to the further development of the academic literature in this area. The volume will therefore be of immediate interest to practitioners and academics. This book was originally published as a special issue of European Journal of Finance.
