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 ...
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...
[1] Avellaneda, M. and Stoikov, S., 2008. High-frequency trading in a limit order book. Qua...
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They would likely go to a middleman to execute this order, but let's assume for a moment they were trading on an exchange. They would not submit a market order because the price would be too bad for a large quantity. They could put a large limit sell order into the book, but that ...
Like most things in trading, the ultimate goal of spoofing is to make profits. It could be used as a trading strategy in itself, or it could be used within an investing framework. For instance, if a trader has purchased security that he wants to sell quickly, the trader might carry ou...
We illustrate our optimal trading strategy with a full numerical analysis, calibrated to the order-book statistics of a popular ETF. Our simulation shows that the profit of market-making can be seriously overstated under LOBs with inconsistent price movements....
In particular, they implement backtesting using three agents: An exchange agent representing the exchange which keeps the order book (e.g., Nasdaq or NYSE), a market replay agent that provides liquidity by replaying historical orders and an experimental agent representing the trading strategy to be...
Smart DOMis a trading order book with unique analytical columns, which enable to monitor hidden orders, assess the seller and buyer balance, and on the basis of the received data identify large bids/offers bluff. This tool is essential for scalpers ...
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 ...