For questions dealing with market data sampled at high frequencies, such as tick data and intraday data.

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5
votes
1answer
483 views

Applying models with normality assumption on tick data?

Beginner question. Having read a couple of papers and book chapters on high-frequency data forecasting, I'm surprised (and confused) that the same time series techniques can be applied to ...
11
votes
3answers
687 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 ...
8
votes
2answers
1k views

Algorithm for the choice of stocks for a equity scalper/market maker to engage in?

Assume a scalper/market maker who is operating on an exchange with $N$ stocks with different characteristics such as current market value, average bid-ask spread, average daily volume and historical ...
5
votes
1answer
221 views

How are dual class shares different from non dual class shares from a market makers' perspective?

Assume a stock Foo with a single share class. Furthermore, assume a dual class stock Bar with classes I and II with different voting rights. The shares in the different classes have equal cash flow ...
0
votes
2answers
1k views

Ultra-High Frequency Trading Help [closed]

Im putting together an Ultra-High Frequency desk and need to answer the following questions for ordering some rack servers to process about 2 GB of data per second. If anyone has worked at a HFT desk ...