The handbook of high frequency trading:
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Amsterdam [u.a.]
Elsevier
2015
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXXIX, 454 S. graph. Darst. |
| ISBN: | 9780128022054 0128022051 |
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Record in the Search Index
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| adam_text | CONTENTS
List of Contributors xiii
Contributors Biographies xvii
Editor Biography xxix
Acknowiedgmen ts xxxi
Introduction xxxi ii
Part 1 Trading Activity 1
1. High-Frequency Activity on NASDAQ 3
Martin Scholtus and Dick van Dijk
1.1 Introduction 3
1.2 Data 5
1.3 Results 7
1.4 Conclusion 21
Acknowledgments 23
References 23
2. The Profitability of High-Frequency Trading: Is It for Real? 25
Imad Moosa and Vikash Ramiah
2.1 Introduction 25
2.2 Definition and Characteristics of HFT 26
2.3 What Constitutes HFT? 28
2.4 The Profitability of HFT 30
2.5 Profitability as a Function of the Holding Period 32
2.6 Methodology 35
2.7 Data and Empirical Results 37
2.8 Conclusion 44
References 44
3. Data Characteristics for High-Frequency Trading Systems 47
Bruce Vanstone and Tobias Hahn
3.1 Introduction 47
3.2 Literature Review 48
3.3 Methodology 50
3.4 Analysis of Data 50
3.5 Conclusion 56
v
vi Contents
Acknowledgments 57
References 57
4. The Relevance of Heteroskedasticity and Structural Breaks when
Testing for a Random Walk with High-Frequency Financial Data:
Evidence from ASEAN Stock Markets 59
Hooi Hooi Lean, Vinod Mishra, and Russell Smyth
4.1 Introduction 59
4.2 Method 61
4.3 Data 63
4.4 Results 63
4.5 Discussion 67
4.6 Conclusion 70
References 73
5. Game Theoretical Aspects of Colocation in High-Speed Financial
Markets 75
Camillo von Muller
5.1 Introduction 75
5.2 Literature and Structure of the Chapter 76
5.3 Colocation and Latency Reduction 77
5.4 Empirical Evidence: Technical Arbitrage through Latency
Reduction 79
5.5 Modeling Strategic Choices on Colocation 84
5.6 Discussion: Evolutionary Optimization and Spatial Dynamics 88
5.7 Conclusion, Limitations, and Implications for Money Managers 91
References 92
6. Describing and Regulating High-Frequency Trading: A European
Perspective 95
Giuseppe Ciallella
6.1 Introduction 95
6.2 HFT Description and Drivers 95
6.3 High Frequency Trading versus Algorithmic Trading 97
6.4 Strategies of HFT 100
6.5 Characteristics of AT and HFT 102
6.6 About the Concept of Liquidity 102
6.7 HFT and Flash Crashes 103
6.8 MiFID II and HFT Regulation in the EU 105
References 108
Contents
Part 2 Evolution and the Future 111
7. High-Frequency Trading: Implications for Market Efficiency
and Fairness 113
Tayyeb Shabbir
7.1 Introduction 113
7.2 Nature of HFT and Recent Trends 114
7.3 Some Salient Issues Related to HFT 115
7.4 HFT and Fairness 117
7.5 Concluding Remarks 121
References 122
8. Revisioning Revisionism: A Glance at HFT s Critics 123
Jeffrey G. Macintosh
8.1 Introduction: High-Frequency Trading Under Siege 123
8.2 The Lewis Debate in Context 124
8.3 An HFT Tableau: Perception versus Reality 132
8.4 Conclusion 146
References 149
9. High-Frequency Trading: Past, Present, and Future 155
François-Serge Lhabitant and Greg N. Gregoriou
9.1 Introduction 1S5
9.2 The Origins of HIT 156
9.3 HT Today 157
9.4 HT Going Forward 162
9.5 Hedge Funds 164
9.6 Conclusion 165
References 165
10. High-Frequency Trading and Its Regulation in the Australian
Equity Markets 167
Paul U. Ali
10.1 Introduction 167
10.2 Regulatory Response 168
10.3 Conclusion 169
References 170
Contents
viii
11. Global Exchanges in the HFT Nexus 171
David R. Meyer and George Guernsey
11.1 Introduction 171
11.2 The Nexus of an Exchange 173
11.3 Exchanges and Their Customers 175
11.4 Regulators and Exchanges 178
11.5 Conclusion 188
Acknowledgments 190
References 191
Part 3 Liquidity and Execution 195
12. Liquidity: Systematic Liquidity, Commonality, and High-Frequency Trading 197
Richard G. Anderson, Jane M. Binnen Björn Hagströmer, and Birger Nilsson
12.1 Introduction 197
12.2 High-Frequency Trading and Liquidity 198
12.3 An Empirical Study of Equity Market Liquidity 202
12.4 Data 206
12.5 Statistical Results 207
12.6 Concluding Thoughts 212
References 212
13. We Missed It Again! Why Do So Many Market Orders in High-Frequency
FX Trading Fail to be Executed? 215
Masayuki Susai and Yushi Yoshida
13.1 Introduction 215
13.2 The Structure of the EBS FX Market 218
13.3 Aggressive IOC Orders 222
13.4 Conclusion 229
Acknowledgments 234
References 234
14. Efficient Performance Evaluation for High-Frequency Traders 237
Godfrey Charles-Cadogan
14.1 Introduction 237
14.2 The Model 242
14.3 Conclusion 250
Acknowledgments 250
References 250
Contents
IX
Part 4 Impact of News Releases 253
15. Do High Frequency Traders Care about Earnings Announcements?
An Analysis of Trading Activity before, during, and after Regular
Trading Hours 255
Brittany Cole, Jonathan Daigle, Bonnie F. Van Ness, and Robert A. Van Ness
15.1 Introduction 255
15.2 High Frequency Trading 256
15.3 Related Literature 257
15.4 Data 258
15.5 Results 260
15.6 Conclusion 268
References 269
16. Why Accountants Should Care about High Frequency Trading 271
Dov Fischer
16.1 Introduction 271
16.2 Internal Controls and Tone at the Top 274
16.3 Conclusion 276
Acknowledgment 276
References 276
17. High-Frequency Trading under Information Regimes 279
Erick Rengifo and Rossen Trendafilov
17.1 Introduction 279
17.2 Data 281
17.3 Methodology and Results 282
17.4 High-Frequency Trading Strategies 296
17.5 Conclusion 302
References 303
18. Effects of Firm-Specific Public Announcements on Market Dynamics:
Implications for High-Frequency Traders 305
Erdin ^ Akyildirim, Albert Altarovici, and Cumhur Ekinci
18.1 Introduction 305
18.2 Data and Methodology 307
18.3 Empirical Results 313
18.4 Implications for HFT 322
18.5 Conclusion 325
Acknowledgments 325
References 326
X
Contents
19. Machine News and Volatility: The Dow Jones Industrial Average
and the TRNA Real-Time High-Frequency Sentiment Series 327
David E. Allen, Michael J. McAleer, and Abhay K. Singh
19.1 Introduction 327
19.2 Research Methods and Data 330
19.3 The Significance of the Sentiment Scores in the GARC.H Analysis of DJIA
Return Series 340
19.4 Conclusion 342
Acknowledgments 342
References 343
Part 5 Impact of Volatility 345
20. High-Frequency Technical Trading: Insights for Practitioners 347
Camillo Lento and Nikola Gradojevic
20.1 Introduction 347
20.2 The Trading Rule Methodology 349
20.3 Data 351
20.4 Results 352
20.5 Conclusion 355
References 356
21. High-Frequency News Flow and States of Asset Volatility 359
Kin-Yip Ho, Yanlin Shi, and Zhaoyong Zhang
21.1 introduction 359
21.2 Data and Sample 362
21.3 Data and Sample 363
21.4 Methodology and Model Specification 364
21.5 Empirical Results and implications 368
21.6 Conclusion and Implications 378
Appendix A: Dow Jones Composite Average 65 Stocks 378
Appendix B: RavenPack Algorithms 380
References 382
22. News Releases and Stock Market Volatility: Intraday Evidence
from Borsa Istanbul 385
M. Nihat Solakoglu and Nazmi Demir
22.1 Introduction 385
22.2 Model Specification and Data 386
Contents
XI
22.3 Results and Discussion 388
22.3 Conclusion 394
References 395
23. The Low-Risk Anomaly Revisited on High-Frequency Data 397
Kris Boudt, Giang Nguyen and Benedict Peeters
23.1 Introduction 397
23.2 Literature Review 399
23.3 Methodology 401
23.4 Investment Universe and Data Collection 405
23.5 Findings 406
23.6 Conclusion 414
Appendix 1 415
Appendix 2 416
Acknowledgments 423
References 423
24. Measuring the Leverage Effect in a High Frequency Trading Framework 425
Imma Valentina Curato and Simona Sanfelici
24.1 Introduction 425
24.2 Model Setting 427
24.3 Computation of Leverage Using Fourier Methodology 429
24.4 Numerical Results 439
24.5 Conclusion 445
Acknowledgments 445
References 445
Index
447
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| spelling | The handbook of high frequency trading Greg N. Gregoriou Amsterdam [u.a.] Elsevier 2015 XXXIX, 454 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Prognoseverfahren (DE-588)4358095-6 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Wertpapierhandelssystem (DE-588)4510686-1 gnd rswk-swf Finanzanalyse (DE-588)4133000-6 gnd rswk-swf Wertpapierhandelssystem (DE-588)4510686-1 s Finanzanalyse (DE-588)4133000-6 s Portfoliomanagement (DE-588)4115601-8 s Prognoseverfahren (DE-588)4358095-6 s b DE-604 Gregoriou, Greg N. 1956- Sonstige (DE-588)132185016 oth Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027910895&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | The handbook of high frequency trading Prognoseverfahren (DE-588)4358095-6 gnd Portfoliomanagement (DE-588)4115601-8 gnd Wertpapierhandelssystem (DE-588)4510686-1 gnd Finanzanalyse (DE-588)4133000-6 gnd |
| subject_GND | (DE-588)4358095-6 (DE-588)4115601-8 (DE-588)4510686-1 (DE-588)4133000-6 |
| title | The handbook of high frequency trading |
| title_auth | The handbook of high frequency trading |
| title_exact_search | The handbook of high frequency trading |
| title_full | The handbook of high frequency trading Greg N. Gregoriou |
| title_fullStr | The handbook of high frequency trading Greg N. Gregoriou |
| title_full_unstemmed | The handbook of high frequency trading Greg N. Gregoriou |
| title_short | The handbook of high frequency trading |
| title_sort | the handbook of high frequency trading |
| topic | Prognoseverfahren (DE-588)4358095-6 gnd Portfoliomanagement (DE-588)4115601-8 gnd Wertpapierhandelssystem (DE-588)4510686-1 gnd Finanzanalyse (DE-588)4133000-6 gnd |
| topic_facet | Prognoseverfahren Portfoliomanagement Wertpapierhandelssystem Finanzanalyse |
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