RISK METRICS AND FINE TUNING OF HIGH-FREQUENCY
 TRADING STRATEGIES

2013 ◽  
Vol 25 (3) ◽  
pp. 576-611 ◽  
Author(s):  
Álvaro Cartea ◽  
Sebastian Jaimungal
Keyword(s):  
High Frequency ◽  
Trading Strategies ◽  
Fine Tuning ◽  
High Frequency Trading

High-Frequency Financial Econometrics

2014 ◽  
Author(s):  
Yacine Aït-Sahalia ◽  
Jean Jacod
Keyword(s):  
High Frequency ◽  
Practical Importance ◽  
Financial Econometrics ◽  
Trading Strategies ◽  
Financial Data ◽  
Jump Processes ◽  
High Frequency Trading ◽  
Microstructure Noise ◽  
Econometric Methods ◽  
Mathematical Foundations

High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. The book covers the mathematical foundations of stochastic processes, describes the primary characteristics of high-frequency financial data, and presents the asymptotic concepts that their analysis relies on. It also deals with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As the book demonstrates, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. The book approaches high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.

scholarly journals High frequency trading strategies, market fragility and price spikes: an agent based model perspective

2018 ◽  
Vol 282 (1-2) ◽  
pp. 217-244 ◽  
Author(s):  
Frank McGroarty ◽  
Ash Booth ◽  
Enrico Gerding ◽  
V. L. Raju Chinthalapati
Keyword(s):  
High Frequency ◽  
Trading Strategies ◽  
High Frequency Trading ◽  
Agent Based Model ◽  
Agent Based ◽  
Price Spikes

High-Frequency Trading Strategies

2017 ◽  
Author(s):  
Michael A. Goldstein ◽  
Amy Kwan ◽  
Richard Philip
Keyword(s):  
High Frequency ◽  
Trading Strategies ◽  
High Frequency Trading

scholarly journals The Mysterious Ethics of High-Frequency Trading

2016 ◽  
Vol 26 (1) ◽  
pp. 1-22 ◽  
Author(s):  
Ricky Cooper ◽  
Michael Davis ◽  
Ben Van Vliet
Keyword(s):  
Moral Hazard ◽  
Financial Markets ◽  
Information Asymmetry ◽  
High Frequency ◽  
Price Discovery ◽  
Recent Trend ◽  
Trading Strategies ◽  
High Frequency Trading

ABSTRACT:The ethics of high frequency trading are obscure, due in part to the complexity of the practice. This article contributes to the existing literature of ethics in financial markets by examining a recent trend in regulation in high frequency trading, the prohibition of deception. We argue that in the financial markets almost any regulation, other than the most basic, tends to create a moral hazard and increase information asymmetry. Since the market’s job is, at least in part, price discovery, we argue that simplicity of regulation and restraint in regulation are virtues to a greater extent than in other areas of finance. This article proposes criteria for determining which high-frequency trading strategies should be regulated.

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