Market microstructure is generally speaking the way markets are organized at the impact of there structure on the price formation process.
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2answers
239 views
Recover full tick data from missing tick data
Due to some economics/regime problem, I can only have access to non full-tick data from an exchange.
To make the problem precise, a full tick data $X$ is a series of $(t_i,p_i,v_i)$ for $0 \leq i ...
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2answers
313 views
Position management and market-making techniques
Suppose, there is a HF strategy (agent) that is based on order book microstructure, and it is able to make good executions locally. More formally, in average its execution price is better than asset ...
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vote
1answer
154 views
Looking for analysis of NASDAQ suit?
I may have every particular detail of this wrong, including the exchange, but years ago, maybe as long as 20, there was a successful suit against NASDAQ based on research by academics showing their ...
6
votes
1answer
167 views
Alternative liquidity measures
I'm going to write the MSc thesis on flight-to-liquidity phenomenon in stock markets and I'm interested in liquidity measures other than Amihud or bid-ask spread.
What are some other popular measures ...
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votes
4answers
859 views
Analyzing tick data
What are some of the commonly used techniques to analyze tick data?
I am looking at tick data to see how the quotes/ mid-price evolves due to certain events in the market. Since tick data is ...
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votes
1answer
262 views
Market making in thinly traded assets
Could anyone suggest some literature or have any practical advice for marking a market in thinly traded assets with the following characteristics:
0-10 trades per day.
Open limit-order book with 0-5 ...
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votes
0answers
254 views
Market microstructure knowledge
Market microstructure is a mix of economics, probability, econophysics, statistics and optimisation. Any feedback from the 2010 conference on the topic? Please post them here and we will take them ...
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3answers
209 views
Are there any standard techniques for adding realistic synthetic microstructure noise to a price series?
This may seem like a strange question, but for my particular application we need to actually add synthetic microstructure noise to real time charts. The signal should still be representative of the ...
6
votes
1answer
130 views
Estimate price movement per unit of volume for daily data
I'm working on backtesting a number of stock trading strategies and need to estimate how much the execution price will likely deviate from the historical close price for that asset using daily data; ...
5
votes
1answer
754 views
What is an efficient data structure to model order book?
What is an efficient data structure to model order book of prices and quantities to ensure:
constant look up
iteration in order of prices
retrieving best bid and ask in constant time
fast quantity ...
2
votes
1answer
571 views
how do we estimate position of our order in order book?
how would you estimate your order in the exchange order book? The order of order events and acks is not deterministic or guaranteed. How could you write an algo to estimate accurately your position in ...
8
votes
1answer
560 views
Quantitative before/after or financial engineering studies of a bid or ask tax?
Has anyone in the quantitative finance or financial engineering community studied the effects of a bid or ask tax with actual or simulated data?
If so, what were the quantitative results or ...
4
votes
3answers
561 views
What is the impact of high-frequency trading on market depth, liquidity, and volatility?
On the surface, bid-ask spreads are far more narrow than even several years ago.
However, during periods of financial stress liquidity seems to vanish. Also, the increasing amount of fragmentation ...
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votes
2answers
190 views
Market order quantity greater than quantity of the inside quote at the exchange
If I send a market order to an exchange with quantity greater than the quantity of the inside quote at this exchange, and if another exchange has quantity to fill the residual portion at NBBO, will my ...
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3answers
1k views
Techniques to optimize the placement of orders in market making strategy?
Market making often requires placing and canceling a lot of orders. You have to buy and sell nearly simultaneously, so you need to move orders pretty often to beat other traders. But I would like to ...
10
votes
5answers
2k views
References for developing an automated trading system?
I am looking for references on the architecture of automated trading systems and the trading algorithms behind them. I am more interested in system development than analysis. A couple of books I ...
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 ...
5
votes
3answers
542 views
Does HFT make sense in a pro-rata market?
If orders are filled pro rata, is there still incentive to engage in HFT? Because pro rata nullifies the time precedence rule, my intuition is no, but I figure there could be other aspects to it I'm ...
