Tagged Questions
5
votes
1answer
244 views
Problems with dealing with GARCH models and intra-day data
Short question would be "Which type of model from GARCH family is most suitable for modeling 5-minute data returns ?" but I've added some story to it.
Long time ago I was preparing my thesis, one ...
4
votes
1answer
550 views
HFT - How to define and measure latency?
I have read and heard a lot about latency. But I can't find any solid information that explains how latency is defined and measured. When people say they have achieved millisecond or nanosecond ...
3
votes
1answer
1k views
Where can I find some examples of high frequency or stat arb trading algorithms beyond basic textbook pairs trading?
In particular,
http://en.wikipedia.org/wiki/Algorithmic_trading#Algorithms
has several name algorithms. I understand most HFT algorithms are proprietary but I am looking for examples of HFT ...
8
votes
5answers
1k views
What exactly is meant by “microstructure noise”?
I see that term tossed around a lot, in articles relating to HFT, and ultra high frequency data.
It says at higher frequencies, smaller intervals, microstructure noise is very dominant.
What is ...
6
votes
2answers
2k views
What is a medium to low frequency trading strategy and why is it less hyped?
The term high frequency trading has been used quite often recently to refer to trading using real-time tick data (or data aggregated to few seconds) and having an intra-day holding period.
How are ...
18
votes
4answers
2k views
Why do high frequency traders use rapidly cancelled limit orders?
In reading about the various practices and strategies of high frequency traders, one of the most mysterious to me is "fleeting orders," or orders that are cancelled almost immediately after they are ...
21
votes
9answers
2k views
Has high frequency trading (HFT) been a net benefit or cost to society?
Various studies have demonstrated the very large and growing influence of high frequency trading (HFT) on the markets. HFT firms are clearly making a great deal of money from somewhere, and it stands ...
22
votes
3answers
4k views
How can we reverse engineer a market-making algorithm (HFT)?
Consider a market participant $A$ who is mechanically following an automated liquidity providing algorithm (HFT) in a number of large cap stocks on a specific exchange.
Assume furthermore that we are ...
11
votes
3answers
571 views
What is the most effective way of determining & measuring the level of HFT activity in a stock in (close to) real time?
On a security by security basis, I want to be able to quantify the level of HFT activity (and later institutional & retail activity). Is it higher than it normally is? How much so?
What would you ...
21
votes
9answers
3k views
How 'High' is the frequency in HFT?
How many trades per second are we talking about?
What kind of strategies are used in this time frame?
Can the small guy play the game?
