Tag Archives: HFT

Stability of Currency Markets to HFT

Last week @gappy3000 shared the Bank of International Settlements’ autumn 2011 assessment of the impact of high-frequency trading on foreign exchange (currency) markets. For the lazy, here’s a summary of the executive summary: HFT in FX operates on high volume but … Continue reading

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In this paper an exhaustive characterization of financial markets was given. Dependence: Autocorrelation in returns if largely insignificant. (Exceptions being at the tick level and annual returns.) Distribution: Approximately symmetric, increasingly positive kurtosis as the time interval decreases and a … Continue reading

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High-Frequency Trading

The point of high-frequency trading is to smooth markets over time. Imagine that you know a big block order is coming in. Some huge pension fund needs to send 70,000 checks out next week so they’re selling some asset. The … Continue reading

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High-Frequency Trading

The point of high-frequency trading is to smooth markets over time. Imagine that you know a big block order is coming in. Some huge pension fund needs to send 70,000 checks out next week so they’re selling some asset. The … Continue reading

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GARCH stands for Generalized Autoregressive Conditional Heteroskedasticity. To translate, skedasticity refers to the volatility or wiggle of a time series. Heteroskedastic means that the wiggle itself tends to wiggle. Conditional means the wiggle of the wiggle depends on something else. … Continue reading

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This really puts my mind at ease as far as whether it’s an economically doomed strategy to pursue quantitative finance: The Efficient Markets Hypothesis is neither necessary nor sufficient for the Random Walk Hypothesis. Apparently the Cowles Commission was the … Continue reading

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No-arbitrage conditions are so often assumed in economics papers that they’ve come to seem magical.  As I read more books by arbitrageurs, the obvious has become apparent:  real people have the job of making financial markets equilibrate. Given that companies … Continue reading

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