# Tag Info

Accepted

### What mathematical theory is required for high frequency trading?

Hah! There is no such thing as the “rigorous mathematical underpinning” of high frequency trading - because HFT, like all trading, is not primarily a mathematical endeavour. It’s true that many ...
• 5,603

### Quantitative Math required for Market-making?

The primary quant skill needed to make the market is optimal control (a typical paper is Guéant, O., L, and J. Fernandez-Tapia (2013, September). Dealing with the inventory risk: a solution to the ...
• 10.5k
Accepted

### Backtesting Market Making Strategy or Microstructure Strategy

This is a very difficult question. First of all you should read Almgren's slides on the topic: Using a Simulator to Develop Execution Algorithms. First you need to backtest your strategy against a "...
• 10.5k

This question has been re-opened again after (rightly) being closed as too broad for the purpose of clearing some misconceptions regarding one of the answers here. The main idea that is to be ...
• 1,132

### What mathematical theory is required for high frequency trading?

I would argue, taking a note from John von Neumman, that quantitative finance lacks rigorous underpinnings. Von Neumann warned in 1953 that many things that look like proofs in economics and finance ...
• 4,066

### Market impact, why square root?

I found this power point and this paper to be an excellent source on this topic. Here is a quote from the paper: A square-root singularity for small traded volumes is highly non-trivial, and ...
Accepted

### How are HFT systems implemented on FPGA nowadays?

Here's a way to think about it: imagine you can do something in an ASIC (i.e. directly in hardware). However, the process of fabrication is in itself expensive, and you get a design that you cannot ...
• 1,982
Accepted

### Quantitative Math required for Market-making?

Successful strategies in both areas can have the same math requirement. It just depends on the algorithm. PhD level mathematics is not a requirement in either area, despite the impression you may get ...
• 2,084
Accepted

### HFT to blame for Flash Crashes?

Using months of proprietary data that labels participants by their participant ID, it has been found that during periods of significant volatility, the composition of HFT participants in the book ...
• 5,062

### Quantitative Math required for Market-making?

Unfortunately, the ability and tools to develop a low latency trading system are extremely commoditized and will be insufficient for you to make a living in this field. An overwhelming majority of ...
• 5,062
Accepted

### Understanding how market making helps investors

I didn't quite understand your objection. Most theories of market making are derived from a famous paper by Jack Treynor (The Economics of the Dealer Function). In the theory, there are initially no ...
• 9,347
Accepted

### How long do algorithmic trading strategies typically remain profitable?

Is there a typical "half-life" of a strategy? This is a really subjective question, and I don't think any singular answer will generalize well. That being said, I will give some examples ...
• 3,680
Accepted

### Market Making Strategy to Interact with IB API

Pete's seven year old answer is just as relevant now as it was in 2011. None of the limiting factors of their API has changed since then, so this is essentially an extensive reiteration. The ...
• 1,132