Questions tagged [high-frequency]
For questions dealing with market data sampled at high frequencies, such as tick data and intraday data.
238
questions
2
votes
0answers
46 views
Assess forecasting performance of model in presence of bid-ask bounce
I have a forecasting model for 1-minute asset returns $y_t$ derived from trade data. (The assets are not very liquid.) The predictors of the model include the lagged target variable $y_{t-1}$, which ...
0
votes
2answers
115 views
Predicting price direction from order flow at high frequency
I have access to high frequency data for a few instruments using which I can simulate a limit order book.I would like to predict direction of price(best bid/ask) in the short term(1 sec, 5 sec and 10 ...
0
votes
0answers
30 views
Role of multilateral trading facility
I'm trying to understand Multilateral Trading Facility why companies are traded in this type of exchange ? what's the role of High Frequency Trading firms in this exchanges ? Thank you
0
votes
0answers
73 views
Execution Strategies
I have a rather broad question. Not sure how to best put it.
Does anyone have any papers/resources on how to improve the execution model of any strategy?
Would it be different if strategy under ...
1
vote
0answers
72 views
How to derive the HJB equation under this paper's context?
I'm reading this paper:High frequency trading in a limit order book.
IN section 3.1, an HJB equatioin was given without any details. Could anyone show how to arrive this equation step by setp? I have ...
1
vote
0answers
39 views
probability on strategy expected return
I’ve been thinking about this for awhile and couldn’t figure it out myself.
Assume you have a trading strategy, which return is normally distributed.
strategy return has a mean of 1 basis point and a ...
0
votes
0answers
57 views
Sharpe ratio from second returns? HFT
I have an intraday trading strategy so I take several positions each day. I have prices for each stock, with a 10 second resolution. So the data looks like this:
...
2
votes
1answer
283 views
Formerly profitable algorithmic trading strategies?
Since algorithmic trading strategies often stop being profitable after a while, I wonder if any such formerly profitable strategies have been made public, and if so, where can I find them?
8
votes
2answers
2k views
How long do algorithmic trading strategies typically remain profitable?
As I understand it, an algorithmic trading strategy could lose profitability, if, for example:
it's rediscovered by others
employee turnover leaks the strategy to others
market conditions change ...
0
votes
0answers
16 views
Bid-ask spread using transactions data [duplicate]
In the absence of quotes data, I'm looking to calculate the realized bid-ask spread using (high-frequency) transactions data. Is there a standard method of doing this? Many thanks.
0
votes
0answers
41 views
modeling example for price changes using HFT data
In Rue S. Tsay’s Time Series book, a decomposition method is described for analyzing price changes using HFT trade data. A change is modeled using the following variables,
A indicates price change ...
0
votes
1answer
93 views
queue position value in all limits in the book
How would you evaluate the value of an order in a given limit at a given queue position in the order book ? For example let's say I am a market maker in BTC-USD and I would like to play some HFT games ...
0
votes
2answers
102 views
Mechanism for Tick Rule for Trade Classification
I see a few papers using the following tick test to classify a trade as buy/sell initiated trades: compare a trade price to the previous differing trade price, if the current price is higher/lower, ...
5
votes
0answers
111 views
How to model financial HFT time-series data with multi scale autocorrelation
I work with tick level time-series univariate prices data. Tick level means that there are hundreds to thousands observations per second. The observations are timestamped, so one can use both wall ...
0
votes
1answer
271 views
Can someone explain to me the square root law of market impact?
The square root law is shown here: Market impact, why square root?
Let's say I want to execute 100 lots. But I have never executed before so I have no idea what n is historically. How would I ...
2
votes
1answer
178 views
GARCH model using high frequency price return
I would like to forecast variance at time length $k\delta$ based on a price (return) time series of time step length $\delta$. I will apply a GARCH(1,1) model to subsamples at time intervals length $k\...
0
votes
1answer
55 views
Finding option price using intraday data [closed]
I have the option price at a rate which is much smaller than the rate at which I have tick data for the underlying. If I have option price at times $t_1, t_3, t_5$ and I have tickdata at $t_1, t_2, ...
0
votes
0answers
54 views
Calculation of 5-minute returns
My goal is time series clustering, I would like to compare 5 minute returns, liquidity seems to be very low sometimes, so is it better idea to calculate average volume weighted price in 5 minute ...
1
vote
1answer
116 views
Optimal bandwidth for Realized Kernel
If I want to estimate Realized Kernel for 1 min bins, is there a way to compute the optimal bandwidth?
In the reference paper: Realised Kernels in Practice: Trades and Quotes (Ole Barndoff-Nielsen et ...
3
votes
1answer
209 views
Complexity of using balanced-tree to model order book
I have bene researching on the best data structure to implement a limit order book. Some of the most common implementations include arrays and balanced trees. This link has a good set of references.
...
0
votes
1answer
93 views
modeling the volume of TOB of a LOB
In Limit Order Books, orders at the same price are grouped and I call this group of orders a "price level"(I don't know if there's a name in literature).
The total volume in this price level ...
0
votes
1answer
73 views
aggregate and convert tick-by-tick using fx data
I have tick-by-tick data of an asset X denominated in EUR and minute-by-minute data on EURUSD. If I wanted to convert my tick-by-tick data to USD would it make sense to just consider every bucket of ...
1
vote
0answers
155 views
Short Term/Intraday Momentum Strategies
I am currently interested in doing some research on short term/intraday momentum trading strategies (highly liquid large cap stocks), especially to test if there are profitable strategies on higher ...
2
votes
2answers
198 views
Should Fama-French coefficients be calculated with daily or monthly returns?
I noticed when I regress the return of a portfolio on the Fama French 3 factor model that the value and the statistical significance of the coefficients vary when I use daily versus monthly portfolio ...
1
vote
2answers
327 views
Decode stock market data from C++
As practice, I have been wanting to parse exchange data and try to build an order book algorithm on my own. I found some sample data from NYSE: ftp://ftp.nyse.com/Real%20Time%20Data%20Samples/NYSE%...
6
votes
2answers
403 views
What are the main types of orders on an exchange?
I'm currently reading Michael Lewis' Flash Boys, which is about high-frequency trading. It was published in 2014 and it says that there are 150 types of orders on exchanges (mainly built for HTF ...
0
votes
0answers
139 views
realized correlation estimation
I'm trying to implement the Hayashi - Yoshida estimator for correlation (T. Hayashi, N. Yoshida: On covariance estimation of non-synchronously observed diffusion processes, 2005) and there's something ...
1
vote
2answers
178 views
How to detect price anomalies in HFT?
Let's say I'm developing an HFT application and seeking arbitrage in futures markets between MAY contract(M) and JUNE contract(J).
In this strategy, my spread is ...
2
votes
1answer
320 views
How to propertly change time horizon in Avellaneda-Stoikov model?
I'm working in the Avellaneda-Stoikov implementation using Python. My implementation reproduces the authors' results, but I don't know how to properly adapt the algorithm in order to consider a larger ...
3
votes
1answer
109 views
Align volume bars for multivariate analysis
Looking at the book "Advances in financial machine learning" the author proposes a way to sample high frequency financial data in several fashions which are not only the standard time bars. I was ...
2
votes
3answers
240 views
Why is C/C++ used by researchers to develop and test algorithmic trading strategies?
I understand why compiled languages such as C/C++ are important for low-latency trading infrastructure.
But I am curious why even researchers at the high-frequency trading firms also require a strong ...
2
votes
0answers
125 views
Competitive levels in Limit Order Books
I've been doing some research on electronic Limit Order Books (mainly equities) and I was wondering if anyone has seen a paper on how to compute competitive limit order prices. By competitive, I mean ...
2
votes
1answer
550 views
Beginner to high-frequency trading
I am extremely new to the field of high-frequency trading. I have been trying to read a ton of materials out there to understand the general workflow. I have very basic knowledge of different concepts ...
1
vote
0answers
205 views
Market Making constant volatility assumption
I have read a few papers on market making and all(nearly) assume that the stock follows a brownian motion with no drift and constant volatility.These assumptions seems un-intuitive to me because of ...
1
vote
1answer
131 views
Futures vs. spot forecasting
If i have the belief that the futures lead the spot for price discovery, and I am able to forecast the future prices, given this forecast, what would be the best way to back out this number such that ...
3
votes
1answer
161 views
Cleaning of high-frequency data
In the paper "Realized kernels in practice: trades and quotes" by O. E.Bandorff-Nielsen etc. cf.
https://onlinelibrary.wiley.com/doi/full/10.1111/j.1368-423X.2008.00275.x
in the section dedicated to ...
3
votes
1answer
111 views
TeaFile discrete logic - how to write [closed]
I have been working with TeaFile from discreteLogic and I'm strugling to understand how i can insert data inside a file.
Let's take this example:
...
1
vote
2answers
2k views
How to understand micro-price (aka, weighted mid-price)?
The definition of micro-price is
S = Pa * Vb / (Va + Vb) + Pb * Va / (Va + Vb)
where Pa is the ask price, ...
1
vote
2answers
864 views
How does a high frequency trading bot work?
I've read this (https://cryptodaily.co.uk/2019/11/what-you-need-to-know-about-high-frequency-trading-in-the-cryptocurrency-world):
Let’s go back to your buy order of 10 BTC and imagine that it ...
1
vote
0answers
92 views
Ultra high frequency TSRV
I'd like to verify my approach to calculate high-frequency RV estimator, as introduced in Ait-Sahalia, Myklad, Zhang 2011. After reading the paper a couple of times, it seems to me, that the only ...
2
votes
0answers
110 views
How to weigh computational cost of updating an online predictive model for latency-constrained trading (e.g., market making, HFT)?
Say one has a predictive online model for market making or HFT (or just for anything strictly latency-constrained). In my specific example, I start with a Gaussian distribution over the "true value" ...
3
votes
1answer
123 views
TSRV parameters selection
I'm thinking about how to select the $J$, and particularly, $K$ parameters for the Two Scale Realized Volatility estimation? I cannot find any reference for that in the original paper - there it says $...
2
votes
0answers
85 views
HAR-RV model for predicting 1-min volatility
I would like to use HAR-RV model (Heterogenous AutoRegressive - Realized Volatility) to predict a 1 minute realised volatility using the HAR model. As regressors I intend to use RV of previous minute, ...
3
votes
1answer
293 views
Should a high-frequency market-making fair value be a point or bid/offer pair?
A single micro-price (e.g., volume weighted mid adjusted for recent trades) is simpler and can be used for pricing both our bid and our offer.
But a bid fair and an offer fair have the desirable ...
3
votes
1answer
224 views
model high frequency bitcoin volatility
I am trying to model volatility of 1-minute returns of BTC, but it seems to me that the data do not behave traditionally. I tried fitting GARCH, eGARCH with ARMA (1,1) or (2,0), but I am not confident ...
2
votes
0answers
69 views
how to model NGARCH using 5min frequency data?
NGARCH model using 5-min High-frequency data in R
I wanted to analyze some 5 minute frequency data of stock market. My teacher asked me to use NGARCH to model, but I didn't know how to program.Here ...
2
votes
0answers
147 views
Modelling Order Flow
I am trying to model the number of order that come at a distance d from the top of the book on either side, both bid and ask.
I was wondering what is a good way to model orders which improve the ...
0
votes
1answer
73 views
Why does an exchange (IEX) need connection to other exchanges (like information about average prices)?
I have read "flash boys". The author describes how the Royal Bank of Canada uses THOR and an own SIP against certain practices of flash traders. I understand why a bank or a broker can make beneficial ...
12
votes
3answers
8k views
What mathematical theory is required for high frequency trading?
I am an applied math postdoc and I have been presented with the option of leaving academia to work in high frequency trading. I wanted to get a feel for the field and the theory underlying it so I ...
2
votes
0answers
107 views
Standard ways of simulating order books
What are some standard simple ways of simulating an order book? I have found this paper, but it is missing the implementation details. And more importantly, it appears that it ignores the size of the ...
