Detail publikace

Comparative Attributes of High-frequency Market Making Algorithms

Originální název

Comparative Attributes of High-frequency Market Making Algorithms

Anglický název

Comparative Attributes of High-frequency Market Making Algorithms

Jazyk

en

Originální abstrakt

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.

Anglický abstrakt

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.

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"
}