Detail publikačního výsledku

Comparative Attributes of High-frequency Market Making Algorithms

SOPUCH, Z.

Originální název

Comparative Attributes of High-frequency Market Making Algorithms

Anglický název

Comparative Attributes of High-frequency Market Making Algorithms

Druh

Stať ve sborníku mimo WoS a Scopus

Originální 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.

Anglický 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

Klíčová slova v angličtině

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

Autoři

SOPUCH, Z.

Rok RIV

2014

Vydáno

28.04.2013

Nakladatel

Faculty of Information Technology BUT

Místo

Brno

ISBN

978-80-214-4695-3

Kniha

Proceedings of the 19th Conference and Competition STUDENT EEICT 2013 Volume 3

Strany od

212

Strany do

216

Strany počet

5

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"
}