Essays On High Frequency Trading And Financial Market Design
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Essays On High Frequency Trading And Financial Market Design
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Author : Fabian Smetak
language : en
Publisher:
Release Date : 2023
Essays On High Frequency Trading And Financial Market Design written by Fabian Smetak and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023 with categories.
Essays On Modern Financial Markets
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Author : Markus Baldauf
language : en
Publisher:
Release Date : 2015
Essays On Modern Financial Markets written by Markus Baldauf and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Trading in public equity markets has changed drastically over the past decade: it has become largely automated and orders of magnitudes faster, and it has become spread out across many venues. This dissertation investigates how this transformation has affected market outcomes. Chapter 1 investigates the effect of the proliferation of exchanges on the bid-ask spread. The welfare consequences of increased exchange competition are theoretically ambiguous. While com- petition does place downward pressure on the bid-ask spread, this force may be outweighed by increased adverse selection of liquidity providers that stems from additional arbitrage opportunities. We investigate this ambiguity empirically by estimating key parameters of the model using detailed trading data from Australia. The benefits of increased competition are outweighed by the costs of multi-venue arbitrage. Compared to the prevailing duopoly, we predict that the counterfactual spread under a monopoly would be 23 percent lower. Further, market design variations on the continuous limit order book would eliminate profits from cross-venue arbitrage strategies and reduce the spread by 51 percent. Finally, eliminating off-exchange trades, so-called dark trading, would reduce the spread by 11 percent. Chapter 2 studies the effect of trading speed on market outcomes in a setting where information acquisition is endogenous. An increase in trading speed crowds out information acquisition by reducing the gains from trading against mispriced quotes. Thus, faster speeds have two effects on traditional measures of market performance. First, the bid-ask spread declines, since there are fewer informational asymmetries. Second, price efficiency deteriorates, since less information is available to be incorporated into prices. A general tradeoff exists between low spreads and price efficiency. We characterize the frontier of this tradeoff and evaluate several trading mechanisms within this framework. The prevalent limit order book mechanism generally does not induce outcomes on this frontier. We consider two alternatives: first, a small delay added to the processing of all orders except cancellations, and second, frequent batch auctions. Both induce equilibrium outcomes on this frontier. Chapter 3 investigates the consequences of information arrival on market outcomes in an environment where both high-frequency traders and slow traders engage in liquidity provision. To that end, we develop a model that predicts that fast traders achieve a relative increase in profits obtained from liquidity provision following a news event, which they achieve both by (i) trading smaller volumes at mispriced quotes, and (ii) winning the race to supply liquidity at updated quotes. We find strong support for these model predictions using data from NASDAQ and the Toronto Stock Exchange. The identification strategy is based on an unanticipated news event in which the Twitter feed of the Associated Press falsely reported a successful terrorist attack.
Essays On And Beyond Market Microstructure
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Author : Yenan Wang
language : en
Publisher:
Release Date : 2021
Essays On And Beyond Market Microstructure written by Yenan Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.
My dissertation consists of two parts. The first part examines standard microstructure topics from new perspectives. Chapter 2 investigates the market implications of high-frequency trading focusing on an ignored channel that existing market makers might reduce the capital exploited in market making facing the competition from high-frequency traders. I find that more high-frequency trading might not improve market quality exactly because of this channel. My model also generates several policy suggestions in improving the market quality with the presence of high-frequency trading. Chapter 3 studies the large traders' execution problem to understand whether electronic trading brings execution advantage. I find that although an increase in trading frequency improves their executions, losing the ability to adopt reputation-based trading strategies due to the prevalence of anonymous trading in this electronic trading era can be so costly that large traders become worse-off in execution. Chapter 4 considers an insider trading problem with uncertainty over the insider's existence. The competitive market making assumption is not consistent with this new element because the insider can achieve an unbounded payoff by taking advantage of the competition. Instead, I construct and analyze the equilibrium under the assumption of monopolistic market making. The model can explain the heterogeneous changes in liquidity of different stocks after a regulation.The second part of my dissertation study two elements outside the scope of current microstructure literature but (in my opinion) are important and should be incorporated to achieve a comprehensive understanding of financial markets. Chapter 5 studies an attention allocation problem under the context of contract and information design. The principal needs to jointly design compensation for the agent and his attention allocation in acquiring signals to motivate the agent to exert the unobservable effort. The flexibility to allocate attention can lead to perpetual cooperation between the principal and the agent. Chapter 6 studies belief updating when the state space contains elements that we are not aware of with an axiomatic approach. The agent can learn from what he is currently aware of and updates his belief when awareness is related to the state realization. In this case, besides leading to Bayesian updating, the arrival of a new signal can also expand the agent's awareness and trigger further updating. Its implication is discussed under the context of persuasion.
Handbook Of High Frequency Trading
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Author : Greg N. Gregoriou
language : en
Publisher: Academic Press
Release Date : 2015-02-05
Handbook Of High Frequency Trading written by Greg N. Gregoriou and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-02-05 with Business & Economics categories.
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
All About High Frequency Trading
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Author : Michael Durbin
language : en
Publisher: McGraw Hill Professional
Release Date : 2010-07-16
All About High Frequency Trading written by Michael Durbin and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-07-16 with Business & Economics categories.
A DETAILED PRIMER ON TODAY'S MOST SOPHISTICATED AND CONTROVERSIAL TRADING TECHNIQUE Unfair . . . brilliant . . . illegal . . . inevitable. High-frequency trading has been described in many different ways, but one thing is for sure--it has transformed investing as we know it. All About High-Frequency Trading examines the practice of deploying advanced computer algorithms to read and interpret market activity, make trades, and pull in huge profi ts—all within milliseconds. Whatever your level of investing expertise, you'll gain valuable insight from All About High-Frequency Trading's sober, objective explanations of: The markets in which high-frequency traders operate How high-frequency traders profi t from mispriced securities Statistical and algorithmic strategies used by high-frequency traders Technology and techniques for building a high-frequency trading system The ongoing debate over the benefi ts, risks, and ever-evolving future of high-frequency trading
High Frequency Trading
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Author : Irene Aldridge
language : en
Publisher: John Wiley and Sons
Release Date : 2009-12-22
High Frequency Trading written by Irene Aldridge and has been published by John Wiley and Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-12-22 with Business & Economics categories.
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.
The High Frequency Game Changer
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Author : Paul Zubulake
language : en
Publisher: John Wiley & Sons
Release Date : 2011-02-16
The High Frequency Game Changer written by Paul Zubulake and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-02-16 with Business & Economics categories.
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.
The Problem Of Hft
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Author : Haim Bodek
language : en
Publisher: Createspace Independent Publishing Platform
Release Date : 2013
The Problem Of Hft written by Haim Bodek and has been published by Createspace Independent Publishing Platform this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Business enterprises categories.
This book explores the problem of high frequency trading (HFT) as well as the need for US stock market reform. This collection of previously published and unpublished materials includes the following articles and white papers: The Problem of HFT HFT Scalping Strategies Why HFTs Have an Advantage Electronic Liquidity Strategy HFT - A Systemic Issue Reforming the National Market System NZZ Interview with Haim Bodek TradeTech Interview with Haim Bodek "Modern HFT wasn't a paradigm shift because its innovations brought new efficiencies into the marketplace. HFT was a paradigm shift because its innovations proved that anti-competitive barriers to entry could be erected in the market structure itself to preference one class of market participant above all others"
Trading The Measured Move
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Author : David Halsey
language : en
Publisher: John Wiley & Sons
Release Date : 2013-12-11
Trading The Measured Move written by David Halsey and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-11 with Business & Economics categories.
A timely guide to profiting in markets dominated by high frequency trading and other computer driven strategies Strategies employing complex computer algorithms, and often utilizing high frequency trading tactics, have placed individual traders at a significant disadvantage in today's financial markets. It's been estimated that high-frequency traders—one form of computerized trading—accounts for more than half of each day's total equity market trades. In this environment, individual traders need to learn new techniques that can help them navigate modern markets and avoid being whipsawed by larger, institutional players. Trading the Measured Move offers a blueprint for profiting from the price waves created by computer-driven algorithmic and high-frequency trading strategies. The core of author David Halsey's approach is a novel application of Fibonnaci retracements, which he uses to set price targets and low-risk entry points. When properly applied, it allows traders to gauge market sentiment, recognize institutional participation at specific support and resistance levels, and differentiate between short-term and long-term trades at various price points in the market. Provides guidance for individual traders who fear they can't compete in today's high-frequency dominated markets Outlines specific trade set ups, including opening gap strategies, breakouts and failed breakout strategies, range trading strategies, and pivot trading strategies Reveals how to escape institutional strategies designed to profit from slower-moving market participants Engaging and informative, Trading the Measured Move will provide you with a new perspective, and new strategies, to successfully navigate today's computer driven financial markets
High Frequency Trading Economic Necessity Or Threat To The Economy
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Author : Stefan Höppel
language : en
Publisher: Anchor Academic Publishing (aap_verlag)
Release Date : 2014-03-13
High Frequency Trading Economic Necessity Or Threat To The Economy written by Stefan Höppel and has been published by Anchor Academic Publishing (aap_verlag) this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-03-13 with Business & Economics categories.
In the last four decades, technological progress led to an electrification of stock tra-ding 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 suf-ficient extent in order for HFT to be characterized as market optimizing, accor-ding to the neoclassical theory of economics."