Detail výsledku

Comparative Attributes of High-frequency Market Making Algorithms

SOPUCH, Z. Comparative Attributes of High-frequency Market Making Algorithms. Proceedings of the 19th Conference and Competition STUDENT EEICT 2013 Volume 3. Brno: Faculty of Information Technology BUT, 2013. p. 212-216. ISBN: 978-80-214-4695-3.
Typ
článek ve sborníku konference
Jazyk
anglicky
Autoři
Sopuch Zbyněk, Ing., UPSY (FIT)
Abstrakt

Comparison and evaluation of existing high-frequency market making algorithms which provide continuous bid and ask liquidity in financial markets is very difficult, because algorithm effects directly influence behaviour of trader and that influences back the behaviour of algorithm (a chicken-egg problem). The paper presents representative sample of algorithms, focuses on their differences and proposes a set of areas which are important for comparison due to market specifics.

Klíčová slova

market making, high-frequency, financial market, comparison of algorithms, bid and ask liquidity

Rok
2013
Strany
212–216
Sborník
Proceedings of the 19th Conference and Competition STUDENT EEICT 2013 Volume 3
Konference
Student EEICT 2013
ISBN
978-80-214-4695-3
Vydavatel
Faculty of Information Technology BUT
Místo
Brno
BibTeX 
@inproceedings{BUT103470,
  author="Zbyněk {Sopuch}",
  title="Comparative Attributes of High-frequency Market Making Algorithms",
  booktitle="Proceedings of the 19th Conference and Competition STUDENT EEICT 2013 Volume 3",
  year="2013",
  pages="212--216",
  publisher="Faculty of Information Technology BUT",
  address="Brno",
  isbn="978-80-214-4695-3"
}
Projekty
Pokročilé bezpečné, spolehlivé a adaptivní IT, VUT, Vnitřní projekty VUT, FIT-S-11-1, zahájení: 2011-01-01, ukončení: 2013-12-31, ukončen
Výzkum informačních technologií z hlediska bezpečnosti, MŠMT, Institucionální prostředky SR ČR (např. VZ, VC), MSM0021630528, zahájení: 2007-01-01, ukončení: 2013-12-31, řešení
Výzkumné skupiny
Výzkumná skupina managementu v softwarovém inženýrství (VZ MSWI)
Pracoviště
Ústav informačních systémů (UIFS)
Nahoru