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A theory of very short-time price change : security price drivers in times of high-frequency trading

Virgilio, Gianluca P. M. - In: Financial innovation : FIN 8 (2022), pp. 1-34

, financial markets face many ultrafast orders, yet a coherent theory of price change at time scales incomprehensible by humans … and only manageable by computers is still lacking. The theory presented in this paper attempts to fill this gap. The … outcome of such a theory is important for purposes of market stability, crisis avoidance, investment planning, risk management …

Persistent link: https://www.econbiz.de/10013272630

Optimal Strategies of High Frequency Traders

Xu, Jiangmin - 2015

This paper develops a model of the optimal strategies of high-frequency traders (HFTs) to rationalize their pinging activities. Pinging is defined as limit orders submitted inside the bid-ask spread that are cancelled shortly. The HFT in my model uses pinging to control his inventory or chase...

Persistent link: https://www.econbiz.de/10013034365

Market Microstructure and the Risks of High-Frequency Trading

Aldridge, Irene - 2013

The current research assesses the risks commonly attributed to the presence of HFT in the context of different market structures deployed by the U.S. exchanges. In particular, we find that, by design, the so-called “normal” exchanges have the lowest market quality, including the highest...

Persistent link: https://www.econbiz.de/10013079007

High Frequency Quoting, Trading, and the Efficiency of Prices

Conrad, Jennifer S. - 2014

We examine the relation between high frequency quotation and the behavior of stock prices between 2009 and 2011 for the full cross-section of securities in the U.S. On average, higher quotation activity is associated with price series that more closely resemble a random walk, and significantly...

Persistent link: https://www.econbiz.de/10013062122

When overconfident traders meet feedback traders

Boco, Herve; Germain, Laurent; Rousseau, Fabrice - In: Finance : revue de l'Association Française de Finance 42 (2021) 3, pp. 7-55

Persistent link: https://www.econbiz.de/10012792321

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

Multi-agent order book simulation : mono- and multi-asset high-frequency market making strategies

Foata, Laurent; Vidhamali, Michael; Abergel, Frédéric - In: Econophysics of Order-driven Markets : proceedings of …, (pp. 139-152). 2011

Persistent link: https://www.econbiz.de/10009349718

Testing stylized facts of Bitcoin limit order books

Schnaubelt, Matthias; Rende, Jonas; Krauss, Christopher - In: Essays on financial time series analysis, (pp. 119-167). 2019

The majority of electronic markets worldwide employ limit order books, and the recently emerging exchanges for cryptocurrencies pose no exception. With this work, we empirically analyze whether commonly observed empirical properties from established limit order exchanges transfer to the...

Persistent link: https://www.econbiz.de/10012321328

Deep limit order book events dynamics

Bilodeau, Yann - 2020

Persistent link: https://www.econbiz.de/10012384636

Algorithmic trading in a microstructural limit order book model

Abergel, Frédéric; Huré, Côme; Pham, Huyên - In: Quantitative finance 20 (2020) 8, pp. 1263-1283

Persistent link: https://www.econbiz.de/10012262662