scholarly journals Inventory Management for High-Frequency Trading with Imperfect Competition

2020 ◽  
Vol 11 (1) ◽  
pp. 1-26
Author(s):  
Sebastian Herrmann ◽  
Johannes Muhle-Karbe ◽  
Dapeng Shang ◽  
Chen Yang
Keyword(s):  
Inventory Management ◽  
High Frequency ◽  
Imperfect Competition ◽  
High Frequency Trading

scholarly journals Inventory Management for High-Frequency Trading With Imperfect Competition

2018 ◽  
Author(s):  
Sebastian Herrmann ◽  
Johannes Muhle-Karbe ◽  
Dapeng Shang ◽  
Chen Yang
Keyword(s):  
Inventory Management ◽  
High Frequency ◽  
Imperfect Competition ◽  
High Frequency Trading

Information and Inventories in High-Frequency Trading

2017 ◽  
Vol 03 (02) ◽  
pp. 1750010 ◽  
Author(s):  
Johannes Muhle-Karbe ◽  
Kevin Webster
Keyword(s):  
Inventory Management ◽  
High Frequency ◽  
Second Order ◽  
High Frequency Trading ◽  
Expected Returns ◽  
Short Term ◽  
Additional Information

We study how short-term informational advantages can be monetized in a high-frequency setting, when large inventories are explicitly penalized. We find that if most of the additional information is revealed regardless of the high-frequency traders’ actions, then fast inventory management allows one to minimize positions with only second-order losses to expected returns. This is no longer possible if most of the additional information is only revealed through trades.

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.

High-Frequency Trading

2011 ◽  
Author(s):  
Peter Gomber ◽  
Björn Arndt ◽  
Marco Lutat ◽  
Tim Elko Uhle
Keyword(s):  
High Frequency ◽  
High Frequency Trading

High Frequency Trading and the 2008 Short Sale Ban

2013 ◽  
Author(s):  
Jonathan Brogaard ◽  
Terrence Hendershott ◽  
Ryan Riordan
Keyword(s):  
High Frequency ◽  
High Frequency Trading ◽  
Short Sale
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