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Algoritmos de negociação com dados de alta frequência; Algorithmic Trading with high frequency data

Uematsu, Akira Arice de Moura Galvão
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 20/03/2012 Português
Relevância na Pesquisa
67.979424%
Em nosso trabalho analisamos os dados provenientes da BM&F Bovespa, a bolsa de valores de São Paulo, no período de janeiro de 2011, referentes aos índices: BOVESPA (IND), o mini índice BOVESPA (WIN) e a taxa de câmbio (DOL). Estes dados são de alta frequência e representam vários aspectos da dinâmica das negociações. No conjunto de valores encontram-se horários e datas dos negócios, preços, volumes oferecidos e outras características da negociação. A primeira etapa da tese foi extrair as informações necessárias para análises a partir de um arquivo em protocolo FIX, foi desenvolvido um programa em R com essa finalidade. Em seguida, estudamos o carácter da dependência temporal nos dados, testando as propriedades de Markov de um comprimento de memória fixa e variável. Os resultados da aplicação mostram uma grande variabilidade no caráter de dependência, o que requer uma análise mais aprofundada. Acreditamos que esse trabalho seja de muita importância em futuros estudos acadêmicos. Em particular, a parte do carácter específico do protocolo FIX utilizado pela Bovespa. Este era um obstáculo em uma série de estudos acadêmicos, o que era, obviamente, indesejável, pois a Bovespa é um dos maiores mercados comerciais do mundo financeiro moderno.; In our work we analyzed data from BM&F Bovespa...

Modelo da dinâmica de um livro de ordens para aplicações em high-frequency trading

Nunes, Gustavo de Faro Colen
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Dissertação
Português
Relevância na Pesquisa
97.97942%
As operações de alta frequência (High-Frequency Trading - HFT) estão crescendo cada vez mais na BOVESPA (Bolsa de Valores de São Paulo), porém seu volume ainda se encontra muito atrás do volume de operações similares realizadas em outras bolsas de relevância internacional. Este trabalho pretende criar oportunidades para futuras aplicações e pesquisas nesta área. Visando aplicações práticas, este trabalho foca na aplicação de um modelo que rege a dinâmica do livro de ordens a dados do mercado brasileiro. Tal modelo é construído com base em informações do próprio livro de ordens, apenas. Depois de construído o modelo, o mesmo é utilizado em uma simulação de uma estratégia de arbitragem estatística de alta frequência. A base de dados utilizada para a realização deste trabalho é constituída pelas ordens lançadas na BOVESPA para a ação PETR4.

Industry analysis of the high frequency trading industry: an assessment of the industry boundaries, environment and strategic options

Vieira, Paulo Sérgio Coelho
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Dissertação
Português
Relevância na Pesquisa
98.32673%
O Mercado Acionário Americano evoluiu rapidamente na última década. Este tornou-se uma arquitetura aberta em que participantes com tecnologia inovadora podem competir de forma eficaz. Várias mudanças regulatórias e inovações tecnológicas permitiram mudanças profundas na estrutura do mercado. Essas mudanças, junto com o desenvolvimento tecnológico de redes de alta velocidade, agiu como um catalisador, dando origem a uma nova forma de negociação, denominada Negociação em Alta Frequência (HFT). As empresas de HFT surgiram e se apropriaram em larga escala do negócio de formação de mercado, no fornecimento de liquidez. Embora HFT tem crescido massivamente, ao longo dos últimos quatro anos, HFT perdeu rentabilidade significativamente, uma vez que mais empresas aderiram ao setor reduzindo as margens. Portanto, diante deste contexto, esta tese buscou apresentar uma breve revisão sobre a atividade de HFT, seguida de uma análise dos limites deste setor, bem como, das características do macroambiente do HFT. Para tanto, a tese realizou uma extensa revisão do histórico literário, documentos públicos qualitativos, tais como, jornais, atas de reunião e relatórios oficiais. A tese empregou um ferramental de análise...

A aplicação de redes neuronais na deteção da influência do High Frequency Trading na negociação de ações (caso português)

Oliveira, Wellington Ferreira
Fonte: Universidade Nova de Lisboa Publicador: Universidade Nova de Lisboa
Tipo: Dissertação de Mestrado
Publicado em 08/05/2012 Português
Relevância na Pesquisa
98.08679%
Dissertação apresentada como requisito parcial para obtenção do grau de Mestre em Estatística e Gestão da Informação; O aumento da capacidade de processamento dos sistemas de negociação, em grande parte reflexo do desenvolvimento tecnológico verificado na última década, transformou a negociação no mercado de instrumentos financeiros, sendo que actualmente volumes gigantescos de dados de negociação e o high frequency trading (HFT) são fenómenos indissociáveis. Nesta nova realidade, onde decisões de investimento passam a estar suportadas em algoritmos electrónicos em detrimento da acção humana, a indústria, as sociedades gestoras de sistema e plataformas e os reguladores europeus, discutem a necessidade de estabelecer, ou não, limites à utilização do HFT. Neste confronto entre vantagens e desvantagens, entre o permitir e o regular, é necessário conciliar a liquidez, a regularidade de funcionamento e a confiança dos investidores num meio ambiente envolvente que funciona à velocidade da luz, onde o controlo do risco e a detecção de situações de abuso de mercado colocam novos desafios a todos os participantes no mercado. As recomendações da Organização Internacional das Comissões de Valores (IOSCO) publicadas em Outubro de 2011 traduzem de forma inequívoca esta preocupação.

High Speed Trading on Stock and Commodity Markets— From Courier Pigeons to Computers

Markham, Jerry W.
Fonte: SelectedWorks Publicador: SelectedWorks
Tipo: Artigo de Revista Científica Formato: application/vnd.openxmlformats-officedocument.wordprocessingml.document
Português
Relevância na Pesquisa
68.248315%
A growing concern in the stock and commodity markets over the last several years has been the rise of high-frequency traders (HFTs). Those traders employ high-speed computer technology for the algorithmic origination, transmission and execution of their orders through fiber optic cables and micro wave towers. That technology allows HFT orders to be executed in times measured in fractions of a second. As a result of this technological advance, HFTs are now dominating trading volumes. This phenomenon has, on the one hand, led to claims by proponents of high-speed trading that HFTs are an important source of market liquidity and should not be subject to burdensome regulation. Critics of HFTs, on the other hand, are claiming that high speed trading is abusive and disruptive for other traders. Those critics also claim that HFTs use their high-speed advantage to trade in advance of other customers and that HFTs should be regulated in a manner that will remove their advantages. This article will show that concern over informational advantages of traders through “high speed” communications is not a new phenomenon. Such advantages have historically been employed through communication methods that have included fast sailing ships, courier pigeons...

Where is the value in high frequency trading?

Cartea, Álvaro; Penalva, José [jpenalva]
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: info:eu-repo/semantics/submittedVersion; info:eu-repo/semantics/workingPaper Formato: application/pdf
Publicado em 28/02/2011 Português
Relevância na Pesquisa
98.6816%
We analyze the impact of high frequency trading in financial markets based on a model with three types of traders: liquidity traders, market makers, and high frequency traders. Our four main findings are: i) The price impact of the liquidity trades is higher in the presence of the high frequency trader and is increasing with the size of the trade. In particular, we show that the high frequency trader reduces (increases) the prices that liquidity traders receive when selling (buying) their equity holdings. ii) Although market makers also lose revenue to the high frequency trader in every trade, they are compensated for these losses by a higher liquidity discount. iii) High frequency trading increases the volatility of prices. iv) The volume of trades doubles as the high frequency trader intermediates all trades between the liquidity traders and market makers. This additional volume is a consequence of trades which are carefully tailored for surplus extraction and are neither driven by fundamentals nor is it noise trading. In equilibrium, high frequency trading and traditional market making coexist as competition drives down the profits for new high frequency traders while the presence of high frequency traders does not drive out traditional market makers

Modeling asset prices for algorithmic and high frequency trading

Cartea, Álvaro; Jaimungal, Sebastian
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: info:eu-repo/semantics/submittedVersion; info:eu-repo/semantics/workingPaper Formato: application/pdf
Publicado em 26/04/2011 Português
Relevância na Pesquisa
78.28167%
Algorithmic Trading (AT) and High Frequency (HF) trading, which are responsible for over 70% of US stocks trading volume, have greatly changed the microstructure dynamics of tick-by-tick stock data. In this paper we employ a hidden Markov model to examine how the intra-day dynamics of the stock market have changed, and how to use this information to develop trading strategies at ultra-high frequencies. In particular, we show how to employ our model to submit limit-orders to profit from the bid-ask spread and we also provide evidence of how HF traders may profit from liquidity incentives (liquidity rebates). We use data from February 2001 and February 2008 to show that while in 2001 the intra-day states with shortest average durations were also the ones with very few trades, in 2008 the vast majority of trades took place in the states with shortest average durations. Moreover, in 2008 the fastest states have the smallest price impact as measured by the volatility of price innovations

Volume-Synchronized Probability of Informed Trading (VPIN), Market Volatility, and High-Frequency Liquidity

Jiang, Jinzhi
Fonte: Brock University Publicador: Brock University
Tipo: Electronic Thesis or Dissertation
Português
Relevância na Pesquisa
77.961567%
We assess the predictive ability of three VPIN metrics on the basis of two highly volatile market events of China, and examine the association between VPIN and toxic-induced volatility through conditional probability analysis and multiple regression. We examine the dynamic relationship on VPIN and high-frequency liquidity using Vector Auto-Regression models, Granger Causality tests, and impulse response analysis. Our results suggest that Bulk Volume VPIN has the best risk-warning effect among major VPIN metrics. VPIN has a positive association with market volatility induced by toxic information flow. Most importantly, we document a positive feedback effect between VPIN and high-frequency liquidity, where a negative liquidity shock boosts up VPIN, which, in turn, leads to further liquidity drain. Our study provides empirical evidence that reflects an intrinsic game between informed traders and market makers when facing toxic information in the high-frequency trading world.

Adjusting the capital asset pricing model for the short-run with liquidity proxies, while accounting for denials and deceptions in financial markets

Mooney, John J., IV
Fonte: Monterey, California: Naval Postgraduate School Publicador: Monterey, California: Naval Postgraduate School
Tipo: Tese de Doutorado
Português
Relevância na Pesquisa
68.009287%
Approved for public release; distribution is unlimited.; William Sharpe's 1964 capital asset pricing model relies heavily on an accurate assessment of the asset's sensitivity to the broader market, termed _. By modifying the classic approach to incorporate liquidity of the asset, designated _', short-term return estimates may be improved. Specifically, in this research, the limit order book is used as a short-term proxy for liquidity assessments. Unfortunately, precise data were unavailable to test: however, detailed realistic examples are outlined in order to explore both rationale and critiques of the adjusted model. In light of the adjusted CAPM, modern market conditions, such as the rise in both high-frequency trading and alternative trading systems, are investigated to determine their impact on the model and asset pricing. Parallels can be drawn to appreciate these implementation obstacles under such information operation paradigms as denial, deception, and counterdeception. These topics, the protection of critical information from leakage, as well as the advancement and detection of deliberate misinformation, are increasingly critical for asset pricing. Furthermore, in response to these implementation obstacles, short-term asset pricing research is explored under both the efficient and adaptive market hypotheses. In conclusion...

Three Essays on Trading Behavior

Clark-Joseph, Adam Daniel
Fonte: Harvard University Publicador: Harvard University
Tipo: Thesis or Dissertation
Português
Relevância na Pesquisa
78.3948%
This dissertation analyzes trading behavior in financial markets from multiple perspectives. In chapter 1, "Exploratory Trading," I investigate the mechanisms underlying high-frequency traders' capacity to profitably anticipate price movements. I develop a model of how a trader could gather valuable private information by using her own orders in an exploratory manner to learn about market conditions. The model's predictions are borne out empirically, and I find that this "exploratory trading" model helps to resolve several central open questions about high-frequency trading. Chapters 2 and 3 focus on the trading behavior of individuals. Chapter 2, "Foundations of the Disposition Effect: Experimental Evidence," (co-authored with Johanna Mollerstrom), presents and analyzes results from a laboratory experiment intended to examine if and how "regret aversion"--aversion to admitting mistakes--affects people's trading decisions. Although the experimental results resolve little about regret aversion specifically, they reveal some novel and unexpected effects, most importantly that subjects radically changed their trading decisions when they were compelled to devote a minimal amount of extra attention. In chapter 3, "Price Targets," I analyze how rational investors who privately observe information of indeterminate quality use prices to learn about whether or not their private information is valuable. I derive implications about trading behavior that not only help to explain a variety of empirical puzzles...

Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information

Guilbaud, Fabien; Pham, Huyên
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 14/05/2012 Português
Relevância na Pesquisa
78.36386%
We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader has the choice to trade via market orders or limit orders, which are represented respectively by impulse controls and regular controls. We model and discuss the consequences of the two main features of this particular microstructure: first, the limit orders sent by the high frequency trader are only partially executed, and therefore she has no control on the executed quantity. For this purpose, cumulative executed volumes are modelled by compound Poisson processes. Second, the high frequency trader faces the overtrading risk, which is the risk of brutal variations in her inventory. The consequences of this risk are investigated in the context of optimal liquidation. The optimal trading problem is studied by stochastic control and dynamic programming methods, which lead to a characterization of the value function in terms of an integro quasi-variational inequality. We then provide the associated numerical resolution procedure, and convergence of this computational scheme is proved. Next, we examine several situations where we can on one hand simplify the numerical procedure by reducing the number of state variables...

High-Frequency Trading Synchronizes Prices in Financial Markets

Gerig, Austin
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 08/11/2012 Português
Relevância na Pesquisa
77.98902%
High-speed computerized trading, often called "high-frequency trading" (HFT), has increased dramatically in financial markets over the last decade. In the US and Europe, it now accounts for nearly one-half of all trades. Although evidence suggests that HFT contributes to the efficiency of markets, there are concerns it also adds to market instability, especially during times of stress. Currently, it is unclear how or why HFT produces these outcomes. In this paper, I use data from NASDAQ to show that HFT synchronizes prices in financial markets, making the values of related securities change contemporaneously. With a model, I demonstrate how price synchronization leads to increased efficiency: prices are more accurate and transaction costs are reduced. During times of stress, however, localized errors quickly propagate through the financial system if safeguards are not in place. In addition, there is potential for HFT to enforce incorrect relationships between securities, making prices more (or less) correlated than economic fundamentals warrant. This research highlights an important role that HFT plays in markets and helps answer several puzzling questions that previously seemed difficult to explain: why HFT is so prevalent, why HFT concentrates in certain securities and largely ignores others...

Empirical Limitations on High Frequency Trading Profitability

Kearns, Michael; Kulesza, Alex; Nevmyvaka, Yuriy
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
78.36386%
Addressing the ongoing examination of high-frequency trading practices in financial markets, we report the results of an extensive empirical study estimating the maximum possible profitability of the most aggressive such practices, and arrive at figures that are surprisingly modest. By "aggressive" we mean any trading strategy exclusively employing market orders and relatively short holding periods. Our findings highlight the tension between execution costs and trading horizon confronted by high-frequency traders, and provide a controlled and large-scale empirical perspective on the high-frequency debate that has heretofore been absent. Our study employs a number of novel empirical methods, including the simulation of an "omniscient" high-frequency trader who can see the future and act accordingly.

Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading

Leal, Sandrine Jacob; Napoletano, Mauro; Roventini, Andrea; Fagiolo, Giorgio
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 10/02/2014 Português
Relevância na Pesquisa
78.584985%
We build an agent-based model to study how the interplay between low- and high-frequency trading affects asset price dynamics. Our main goal is to investigate whether high-frequency trading exacerbates market volatility and generates flash crashes. In the model, low-frequency agents adopt trading rules based on chronological time and can switch between fundamentalist and chartist strategies. On the contrary, high-frequency traders activation is event-driven and depends on price fluctuations. High-frequency traders use directional strategies to exploit market information produced by low-frequency traders. Monte-Carlo simulations reveal that the model replicates the main stylized facts of financial markets. Furthermore, we find that the presence of high-frequency trading increases market volatility and plays a fundamental role in the generation of flash crashes. The emergence of flash crashes is explained by two salient characteristics of high-frequency traders, i.e. their ability to i) generate high bid-ask spreads and ii) synchronize on the sell side of the limit order book. Finally, we find that higher rates of order cancellation by high-frequency traders increase the incidence of flash crashes but reduce their duration.; Comment: 11 pages...

Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets

Myers, Benjamin; Gerig, Austin
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 17/11/2013 Português
Relevância na Pesquisa
77.98902%
Nearly one-half of all trades in financial markets are executed by high-speed, autonomous computer programs -- a type of trading often called high-frequency trading (HFT). Although evidence suggests that HFT increases the efficiency of markets, it is unclear how or why it produces this outcome. Here we create a simple model to study the impact of HFT on investors who trade similar securities in different markets. We show that HFT can improve liquidity by allowing more transactions to take place without adversely affecting pricing or volatility. In the model, HFT synchronizes the prices of the securities, which allows buyers and sellers to find one another across markets and increases the likelihood of competitive orders being filled.; Comment: 7 pages, 4 figures, 1 table

Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets

Charles-Cadogan, Godfrey
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 12/06/2012 Português
Relevância na Pesquisa
67.92677%
We introduce a trade strategy representation theorem for performance measurement and portable alpha in high frequency trading, by embedding a robust trading algorithm that describe portfolio manager market timing behavior, in a canonical multifactor asset pricing model. First, we present a spectral test for market timing based on behavioral transformation of the hedge factors design matrix. Second, we find that the typical trade strategy process is a local martingale with a background driving Brownian bridge that mimics portfolio manager price reversal strategies. Third, we show that equilibrium asset pricing models like the CAPM exists on a set with P-measure zero. So that excess returns, i.e. positive alpha, relative to a benchmark index is robust to no arbitrage pricing in turbulent capital markets. Fourth, the path properties of alpha are such that it is positive between suitably chosen stopping times for trading. Fifth, we demonstrate how, and why, econometric tests of portfolio performance tend to under report positive alpha.; Comment: 15 pages, 0 figures

Local Risk Decomposition for High-frequency Trading Systems

Bartolozzi, M.; Mellen, C.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
77.92677%
In the present work we address the problem of evaluating the historical performance of a trading strategy or a certain portfolio of assets. Common indicators such as the Sharpe ratio and the risk adjusted return have significant drawbacks. In particular, they are global indices, that is they do not preserve any 'local' information about the performance dynamics either in time or for a particular investment horizon. This information could be fundamental for practitioners as the past performance can be affected by the non-stationarity of financial market. In order to highlight this feature, we introduce the 'local risk decomposition' (LRD) formalism, where dynamical information about a strategy's performance is retained. This framework, motivated by the multi-scaling techniques used in complex system theory, is particularly suitable for high-frequency trading systems and can be applied into problems of strategy optimization.; Comment: 12 pages and 4 figures

Is high-frequency trading inducing changes in market microstructure and dynamics?

Smith, Reginald D.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
78.20861%
Using high-frequency time series of stock prices and share volumes sizes from January 2002-May 2009, this paper investigates whether the effects of the onset of high-frequency trading, most prominent since 2005, are apparent in the dynamics of the dollar traded volume. Indeed it is found in almost all of 14 heavily traded stocks, that there has been an increase in the Hurst exponent of dollar traded volume from Gaussian noise in the earlier years to more self-similar dynamics in later years. This shift is linked both temporally to the Reg NMS reforms allowing high-frequency trading to flourish as well as to the declining average size of trades with smaller trades showing markedly higher degrees of self-similarity.; Comment: 21 pages, 10 figures, 2 tables; v2 corrected small omission (tilde) in Eq. 8; v3 - changed NWSA to NWS (News Corp), explicitly stated TAQ sale condition codes (and added a few) and trade correction indicator exclusions. No substantive changes to graphs or conclusions

High frequency trading and asymptotics for small risk aversion in a Markov renewal model

Fodra, Pietro; Pham, Huyên
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
77.80495%
We study a an optimal high frequency trading problem within a market microstructure model designed to be a good compromise between accuracy and tractability. The stock price is driven by a Markov Renewal Process (MRP), while market orders arrive in the limit order book via a point process correlated with the stock price itself. In this framework, we can reproduce the adverse selection risk, appearing in two different forms: the usual one due to big market orders impacting the stock price and penalizing the agent, and the weak one due to small market orders and reducing the probability of a profitable execution. We solve the market making problem by stochastic control techniques in this semi-Markov model. In the no risk-aversion case, we provide explicit formula for the optimal controls and characterize the value function as a simple linear PDE. In the general case, we derive the optimal controls and the value function in terms of the previous result, and illustrate how the risk aversion influences the trader strategy and her expected gain. Finally, by using a perturbation method, approximate optimal controls for small risk aversions are explicitly computed in terms of two simple PDE's, reducing drastically the computational cost and enlightening the financial interpretation of the results.; Comment: 30 pages...

The Random Walk of High Frequency Trading

Aldrich, Eric M.; Heckenbach, Indra; Laughlin, Gregory
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
68.086787%
This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of high-frequency asset returns both in ordinary clock time and in trade time. We show that when controlling for pre-scheduled market news events, trade-time returns of the highly liquid near-month E-mini S&P 500 futures contract are well characterized by a Gaussian distribution at very fine time scales. Second, we develop a structured and parsimonious model of clock-time returns by subordinating a trade-time Gaussian distribution with a trade arrival process that is associated with a modified Markov-Switching Multifractal Duration (MSMD) model. This model provides an excellent characterization of high-frequency inter-trade durations. Over-dispersion in this distribution of inter-trade durations leads to leptokurtosis and volatility clustering in clock-time returns, even when trade-time returns are Gaussian. Finally, we use our model to extrapolate the empirical relationship between trade rate and volatility in an effort to understand conditions of market failure. Our model suggests that the 1,200 km physical separation of financial markets in Chicago and New York/New Jersey provides a natural ceiling on systemic volatility and may contribute to market stability during periods of extremely heavy trading.