Result Details
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.
Type
conference paper
Language
English
Authors
Sopuch Zbyněk, Ing., DCSY (FIT)
Abstract
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.
Keywords
market making, high-frequency, financial market, comparison of algorithms, bid and ask liquidity
Published
2013
Pages
212–216
Proceedings
Proceedings of the 19th Conference and Competition STUDENT EEICT 2013 Volume 3
Conference
Student EEICT 2013
ISBN
978-80-214-4695-3
Publisher
Faculty of Information Technology BUT
Place
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"
}
Projects
Advanced secured, reliable and adaptive IT, BUT, Vnitřní projekty VUT, FIT-S-11-1, start: 2011-01-01, end: 2013-12-31, completed
Security-Oriented Research in Information Technology, MŠMT, Institucionální prostředky SR ČR (např. VZ, VC), MSM0021630528, start: 2007-01-01, end: 2013-12-31, running
Security-Oriented Research in Information Technology, MŠMT, Institucionální prostředky SR ČR (např. VZ, VC), MSM0021630528, start: 2007-01-01, end: 2013-12-31, running
Research groups
Departments