Narrow search
Showing 1 - 10 of 709,405
Cover Image
Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets
Ledenyov, Dimitri - 2015
exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the … theory; 4) the derivation of the time dependent/time independent wave equation in the quantum finances theory; 5) the …/time independent wave equation in the quantum finances theory; 6) the discussion on the developed software program with the embedded …
Persistent link: https://www.econbiz.de/10013013057
Cover Image
High-Frequency Trading and Extreme Price Movements
Brogaard, Jonathan - 2020
Are endogenous liquidity providers (ELPs) reliable in times of market stress? We examine the activity of a common ELP type – high frequency traders (HFTs) – around extreme price movements (EPMs). We find that on average HFTs provide liquidity during EPMs by absorbing imbalances created by...
Persistent link: https://www.econbiz.de/10012856427
Cover Image
High-Frequency Technical Trading : The Importance of Speed
Scholtus, Martin L. - 2012
of 200 milliseconds is enough to lower performance significantly. On low volatility days this is already the case for …
Persistent link: https://www.econbiz.de/10013109934
Cover Image
Market Microstructure and the Risks of High-Frequency Trading
Aldridge, Irene - 2013
market manipulation, the highest volatility and probability of market crashes, yet the highest liquidity. The so … detect spoofing market manipulation, lower volatility and probability of market crashes, but lower liquidity levels. Finally …
Persistent link: https://www.econbiz.de/10013079007
Cover Image
High frequency trading and the new-market makers
Menkveld, Albert J. - 2011 - This version: August 15, 2011
This paper links the recent fragmentation in equity trading to high frequency traders (HFTs). It shows how the success of a new market, Chi-X, critically depended on the participation of a large HFT who acts as a modern market-maker. The HFT, in turn, benefits from low fees in the entrant...
Persistent link: https://www.econbiz.de/10011386460
Cover Image
Assessing the impact of algorithmic trading on markets : a simulation approach
Gsell, Markus - 2008
impact of such concepts, e.g. effects on the price formation or the volatility of prices, a simulation environment is … market prices. On the other hand, lower latency appears to lower market volatility. -- Algorithmic Trading ; Simulation …
Persistent link: https://www.econbiz.de/10003863919
Cover Image
High Frequency Fairness
Haeringer, Guillaume; Melton, Hayden - 2020
The emergence of high frequency trading has resulted in `bursts' of orders arriving at an exchange (nearly) simultaneously, yet most electronic financial exchanges implement the continuous limit order book which requires processing of orders serially. Contrary to an assumption that appears...
Persistent link: https://www.econbiz.de/10014352148
Cover Image
High Frequency Market Making : Optimal Quoting
Ait-Sahalia, Yacine - 2017
We propose a model of market making where a strategic high frequency trader exploits his speed and informational advantages to place quotes that interact with the orders of low frequency traders. We characterize the optimal market making policy of the high frequency trader analytically. Our...
Persistent link: https://www.econbiz.de/10012973961
Cover Image
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
Cover Image
Evolution of Volatility, Trade Price Location, Correlations, and Speed of Trading in the Limit Order Book
Jain, Pankaj K. - 2012
average daily volume and LOB slope, contain information about future trade price location, price volatility, speed of trading … standard volume–volatility relationship, which is contrary to previous findings for other markets. These results are helpful in …
Persistent link: https://www.econbiz.de/10013114233