# 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 ...
• 5,638
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 "...
• 10.7k

### 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 ...
• 4,123

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 ...
• 1,142

### 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 ...
• 412
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 ...
• 5,081
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 ...
• 3,880
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• 9,689