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Searching for 'algorithmic trading' through scholar.google.com reveals a large list of trading strategies, related on topics like the liquidity of markets, volatility modelling, volume modelling, the profitability of some simple strategies, etc. etc. However, it remains difficult to asses the current status in the modelling of some theoretical frameworks used in this field.

My questions therefore are:

  • what are the topics open for further investigation in the modelling of algorithmic trading? Where does it fail and what could be improved?
  • do you perhaps know resources on the net where such kind of insights are discussed?
  • are you aware of some upcoming seminars in Europe or the States where for instance an overview is given of the current status?
  • Do you know a good paper that summarizes the development on this topic and is up-to-date?
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This question is extremely vague and is inappropriate for Stack Exchange. – chrisaycock♦ Apr 13 '12 at 2:41
hmmm oke I understand. Still, input about good references on an overview of algorithmic trading (papers and seminars) would be useful I suppose. – JohnAndrews Apr 13 '12 at 3:01
There is a field of research to use rough path to model all the information contained in algorithmic trading via the signature. Once signature is calibrated to the past, you use it to forecast the future. ccfz.ch/files/rd_lyons.pdf – user7056 Sep 19 '12 at 10:43

closed as not constructive by chrisaycock♦ Apr 13 '12 at 2:41

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