Search results for "High-frequency trading"
showing 6 items of 6 documents
Effects of Behavioural Finance on Emerging Capital Markets
2014
Abstract A recent common view of finance experts is that it is becoming increasingly difficult to understand how the economy as a whole works. Although the efficient market theory might be considered an ideal model enabling the interpretation of market behavior, it has begun to lose ground, and the rationality hypothesis failed to explain the excessive volatility of the returns and trading volume recorded on both developed capital markets and emerging ones. Adding the behavioral finance perspective to the equation can help us to understand better how market agents will react. In this article, we investigate the factors that may explain the trading volume evolution on two emerging capital ma…
Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange
2011
We empirically study the trading activity in the electronic on-book segment and in the dealership off-book segment of the London Stock Exchange, investigating separately the trading of active market members and of other market participants which are non-members. We find that (i) the volume distribution of off-book transactions has a significantly fatter tail than the one of on-book transactions, (ii) groups of members and non-members can be classified in categories according to their trading profile (iii) there is a strong anticorrelation between the daily inventory variation of a market member due to the on-book market transactions and inventory variation due to the off-book market transac…
FPGA-piirien hyödyntäminen ultranopeassa automatisoidussa kaupankäynnissä
2012
Ultranopeassa automatisoidussa kaupankäynnissä (HFT) aika on rahaa ja jo millisekunnin etu kilpailijoihin nähden voi tuottaa suurenkin voiton. Optimoinnin HFT-järjestelmän joka osissa nopeuttavat järjestelmää. FPGA-piirien käyttö voi nopeuttaa HFT-järjestelmää huomattavasti. Erityisesti FPGA-piiri soveltuu markkinasyötteen käsittelyyn. FPGA-piireillä savutetaan 5-22 kertainen nopeus yleiskäyttöiseen suorittimeen nähden markkinasyötteen käsittelyssä In high-frequency trading (HFT) time is money. Even a one millisecond advance to other traders can bring huge wins to the HFT system. Optimazations in different parts of the HFT system can make system faster. Using FPGAs signifacantly decreases l…
Structural Reforms in Banking: The Role of Trading
2017
In the wake of the recent financial crisis, significant regulatory actions have been taken aimed at limiting risks emanating from trading in bank business models. Prominent reform proposals are the Volcker Rule in the U.S., the Vickers Report in the UK, and, based on the Liikanen proposal, the Barnier proposal in the EU. A major element of these reforms is to separate "classical" commercial banking activities from securities trading activities, notably from proprietary trading. While the reforms are at different stages of implementation, there is a strong ongoing discussion on what possible economic consequences are to be expected. The goal of this paper is to look at the alternative approa…
Quantifying preferential trading in the e-MID interbank market
2015
Interbank markets allow credit institutions to exchange capital for purposes of liquidity management. These markets are among the most liquid markets in the financial system. However, liquidity of interbank markets dropped during the 2007-2008 financial crisis, and such a lack of liquidity influenced the entire economic system. In this paper, we analyze transaction data from the e-MID market which is the only electronic interbank market in the Euro Area and US, over a period of eleven years (1999-2009). We adapt a method developed to detect statistically validated links in a network, in order to reveal preferential trading in a directed network. Preferential trading between banks is detecte…
High-frequency trading and networked markets
2021
Financial markets have undergone a deep reorganization during the last 20 y. A mixture of technological innovation and regulatory constraints has promoted the diffusion of market fragmentation and high-frequency trading. The new stock market has changed the traditional ecology of market participants and market professionals, and financial markets have evolved into complex sociotechnical institutions characterized by a great heterogeneity in the time scales of market members’ interactions that cover more than eight orders of magnitude. We analyze three different datasets for two highly studied market venues recorded in 2004 to 2006, 2010 to 2011, and 2018. Using methods of complex network th…