Publication detail

Comparative Attributes of High-frequency Market Making Algorithms

SOPUCH, Z.

Original Title

Comparative Attributes of High-frequency Market Making Algorithms

English Title

Comparative Attributes of High-frequency Market Making Algorithms

Type

conference paper

Language

en

Original Abstract

Comparison and evaluation of existing high-frequency market making algorithms which provide continuous bid and ask liquidity in financial markets is very difficult, because algorithm effects directly influence behaviour of trader and that influences back the behaviour of algorithm (a chicken-egg problem). The paper presents representative sample of algorithms, focuses on their differences and proposes a set of areas which are important for comparison due to market specifics.

English abstract

Comparison and evaluation of existing high-frequency market making algorithms which provide continuous bid and ask liquidity in financial markets is very difficult, because algorithm effects directly influence behaviour of trader and that influences back the behaviour of algorithm (a chicken-egg problem). The paper presents representative sample of algorithms, focuses on their differences and proposes a set of areas which are important for comparison due to market specifics.

Keywords

market making, high-frequency, financial market, comparison of algorithms, bid and ask liquidity

RIV year

2013

Released

28.04.2013

Publisher

Faculty of Information Technology BUT

Location

Brno

ISBN

978-80-214-4695-3

Book

Proceedings of the 19th Conference and Competition STUDENT EEICT 2013 Volume 3

Edition

NEUVEDEN

Edition number

NEUVEDEN

Pages from

212

Pages to

216

Pages count

5

Documents

BibTex


@inproceedings{BUT103470,
  author="Zbyněk {Sopuch}",
  title="Comparative Attributes of High-frequency Market Making Algorithms",
  annote="Comparison and evaluation of existing high-frequency market making algorithms
which provide continuous bid and ask liquidity in financial markets is very
difficult, because algorithm effects directly influence behaviour of trader and
that influences back the behaviour of algorithm (a chicken-egg problem). The
paper presents representative sample of algorithms, focuses on their differences
and proposes a set of areas which are important for comparison due to market
specifics.",
  address="Faculty of Information Technology BUT",
  booktitle="Proceedings of the 19th Conference and Competition STUDENT EEICT 2013 Volume 3",
  chapter="103470",
  edition="NEUVEDEN",
  howpublished="print",
  institution="Faculty of Information Technology BUT",
  year="2013",
  month="april",
  pages="212--216",
  publisher="Faculty of Information Technology BUT",
  type="conference paper"
}