scholarly journals A taxonomy of the 'dark side' of financial innovation: the cases of high frequency trading and exchange traded funds

2012 ◽  
Vol 16 (1/2) ◽  
pp. 51 ◽  
Author(s):  
Ivan Diaz Rainey ◽  
Gbenga Ibikunle
Keyword(s):  
High Frequency ◽  
Financial Innovation ◽  
High Frequency Trading ◽  
Dark Side ◽  
Exchange Traded Funds

European Legal Framework for Algorithmic and High Frequency Trading (Mifid 2 and MAR)

2018 ◽  
Vol 9 (1) ◽  
pp. 146-153 ◽  
Author(s):  
Tilen ČUK ◽  
Arnaud VAN WAEYENBERGE
Keyword(s):  
Mathematical Modelling ◽  
Systemic Risk ◽  
High Frequency ◽  
Financial Innovation ◽  
Legal Framework ◽  
Computer Hardware ◽  
High Frequency Trading ◽  
Computer Algorithms ◽  
Early Assessment ◽  
Market Abuse

AbstractAlgorithmic and high frequency trading use computer algorithms to execute strategies and the confluence of trends in computer hardware, programming, mathematical modelling, and financial innovation have pushed the limits of trading speed to unprecedented levels. Algorithms are fast and automatically spread disruptions through the financial system. Over the last decade, the ensuing systemic risk called for new regulations. This article attempts an early assessment of the new European legal framework (Mifid 2 and Market Abuse Regime) intended to tackle the technological risks of the modern trading paradigm.

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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