Empirical market microstructure High frequency trading activity modeling Zero intelligent agent based models Perm State National Research University Arbuzov V. [email protected]Perm R group r-group.mifit.ru ITE.LAB “MathEconomics” Open Course Russia, Perm, 21 November 2013
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Empirical market microstructure High frequency trading activity modeling
HFTs create exponential growth of data in financial markets
Number of orders (left) and number of trades (right) from 2008 (violet) to 2012 (red color) on USA exchengesSource: NANEX, LLC (http://www.nanex.net/aqck/2817.HTML)
High frequency trading activity modeling
High frequency trading activity modeling
Extraordinarily high-speed and sophisticated computer programs High message traffic Low latency Near-flat end-of-day net positions Short time frame for trading for establishing and liquidating positions Proprietary trading