The Trading Mesh 834 days ago,(2012/06/06)
High Frequency Trading (HFT) has recently drawn public and regulatory attention after the “flash crash” in U.S. stock market on May 6, 2010. Data processing and statistical modeling techniques in finance has been revolutionized by the availability of high frequency data on transactions, quotes and order flow in electronic order-driven markets, which has and brought up new theoretical and computational challenges. Market dynamics at the transaction level cannot be characterized solely in terms the dynamics of a single price and one must also take into account the interaction between buy and sell orders of different types by modeling the order flow at the bid price, ask price and possibly other levels of the limit order book. In this paper, I implemented and improved a queuing model that characterizes the market dynamics as a Discrete Markovian System, which is more suitable for illiquid market. I then propose and examine a few market-making trading strategies & applications of such a model and point to the simulation results.
Advisor: Björn Hartmann and Xin Guo
News: CFN Services Further Accelerates its UltraFast™ Market Data with Microwave Network Acquisition
8 days ago,(2014/09/10) - CFN Services
New Solution Broadens Access to Real-time Market Data at Wireless Speeds, Making Dedicated Fiber Connections Obsolete between New York and Chicago CHICAGO, IL and NEW...
30 days ago,(2014/08/19) - Esprow
London, August 5th 2014 – Esprow has today announced successful integration of the SWIFT MT/MX messaging standard within the Nozomi Enterprise Testing Platform. Esprow&...
2 hours ago,(04:33) - NovaSparks
Based on a new platform, the pure FPGA feed handler solution offers scalability and functionalities typically found in software-only solutions NEW YORK, LONDON, PARIS...
2 hours ago,(04:43) - Redline Trading Solutions
WOBURN, Mass. – September 17, 2014 – Redline Trading Solutions, the premier provider of ultra-low latency market data and order execution systems, today announced ...
10 days ago,(2014/09/08) - Horizon Software
8 September 2014, Paris: Horizon Software, the provider of the most advanced algorithmic trading technology on the market, today announced the latest version of its elect...