高频交易最重要的信息来源就是Quotes和Trades了,我感觉基本上所有的数据分析都是基于买和卖的信息,不仅最重要的strategy和signal,还有market impact和order execution的modeling都是基于order book上面的Quotes和Trades做出的判断。 Quotes和Trades都是从交易所发过来的信息。如果一个人想要在交易所交易某个股票(交易过股票...
Trading strategy with stochastic volatility in a limit order book marketLimit order book (LOB)Dynamic programming (DP)Hamilton–Jacobi–Bellman (HJB) equationMarket impactStochastic volatility (SV) modelIn this paper, we employ the Heston stochastic volatility model to describe the stock's volatility ...
Obizhaeva, Anna A. “Optimal Trading Strategy and Supply/Demand Dynamics.” Journal of Financial ...
In this post, we will cover the basics of the Limit Order Book (LOB) for use in algorithmic trading. The mechanics of the order book are relatively simple, but getting an intuitive understanding of how it works can take a while. Familiarity with the order book is crucial to understanding ...
High Frequency Trading II: Limit Order BookIn this article series Imanol Pérez, a PhD researcher in Mathematics at Oxford University, and an expert guest contributor to QuantStart continues the discussion of high-frequency trading via the introduction of the limit order book. As we saw in the ...
. Some strategy for keeping the limit tree balanced should be used because the nature of markets is such that orders will be being removed from one side of the tree as they’re being added to the other. Keep in mind, though, that it is important to be able to update Book.lowestSell/...
In contrast to existing literature our strategy dynamically executes ... Robert Huitema - 《Ssrn Electronic Journal》 被引量: 50发表: 2011年 A limit order book model for latency arbitrage We consider a single security market based on a limit order book and two investors, with different speeds ...
In this paper, we study the determinants of order aggressiveness and traders' order submission strategy in an open limit order book market. Applying an order classification scheme, we model the most aggressive market orders, limit orders as well as cancellations on both sides of the market employi...
Knowing these traders are likely to close their trades as soon as the market returns allows us to formulate a trading strategy based on the movement that will be caused by them closing their trades.?Usually the only way you would be able to identify where losing traders have placed their ...
We find that the information on order books are more meaningful in constructing a trading strategy rather than the information from traded prices and volume data. Particularly, a change of the balance on order book implies price trend not only in a moment, but also over a certain period, due...