OpenAlex · 2009 · cites 353
Acknowledgments. Chapter 1 Introduction. Chapter 2 Evolution of High-Frequency Trading. Financial Markets And Technological Innovation. Evolution Of Trading Methodology. Chapter 3 Overview of the Business of High-Frequency Trading. Comparison With Traditional Approaches to Trading. Market Participants. Operating Model. Economics. Capitalizing a High-Frequency Trading Business. Conclusion. Chapter 4 Financial Markets …
Irene Aldridge
arXiv · arXiv q-fin · 2005
Automated trading systems on developed and emerging capital markets are studied in this paper. The standard for developed market is automated trading system with 40-days simple moving average. We tested it for the index SIX Industrial for 1000 and 730 trading days of the slovak emerging capital market. The Buy and Hold trading system was 7.80 times more profitable than this etalon trading system for active trading. T…
Ondrej Hudak, Jana Tothova
arXiv · arXiv q-fin · 2026
We develop a continuous-time structural dynamic model to determine the exact insolvency regions of banks arising from the non-linear interaction between liquidity and credit risk. While existing literature predominantly treats these risks in isolation or via reduced-form specifications, we explicitly model the feedback loop where funding shocks and regulatory constraints force balance-sheet adjustments that can lead …
Nader Karimi, Davood Ahmadian
arXiv · arXiv q-fin · 2015
We postulates, and then show experimentally, that liquidity deficit is the driving force of the markets. In the first part of the paper a kinematic of liquidity deficit is developed. The calculus-like approach, which is based on Radon--Nikodym derivatives and their generalization, allows us to calculate important characteristics of observable market dynamics. In the second part of the paper this calculus is used in a…
Vladislav Gennadievich Malyshkin, Ray Bakhramov
arXiv · arXiv q-fin · 2026
Current post-trade clearing systems rely almost exclusively on cash or cash-like collateral, leaving vast reserves of short-term liquidity embedded in trade credit outside formal settlement infrastructures. A key barrier to integrating this liquidity is the near-universal dependence of clearing services on novation, which imposes institutional overhead that restricts accessibility and limits the range of obligations …
Tomaž Fleischman, Ethan Buchman
arXiv · arXiv · 2026
Empirical correlation matrices estimated from financial return time series are contaminated by statistical noise arising from finite sample size, obscuring genuine interactions among assets. We apply spectral decomposition to separate the empirical correlation matrix into a structured component associated with eigenvalues exceeding the Marchenko-Pastur bounds and a random component representing statistical noise. Usi…
Imran Ansari, Shashi Jain, Srikanth K. Iyer
OpenAlex · IIE Transactions · 1993 · cites 12
This paper presents a model for analyzing inventory control policies for dealers that support the sales and service of manufactured goods. The environment faced by dealers is characterized by multiple stochastic demand classes (prioritized into emergency and regular), a principal source for boui emergency and regular requirements, multiple secondary sources for expedite requirements, and constraints on the lead time …
Ricardo Ernst, Morris A. Cohen
OpenAlex · Review of Financial Studies · 2005 · cites 928
In theory, the sum of squares of log returns sampled at high frequency estimates their variance. When market microstructure noise is present but unaccounted for, however, we show that the optimal sampling frequency is finite and derives its closed-form expression. But even with optimal sampling, using say 5-min returns when transactions are recorded every second, a vast amount of data is discarded, in contradiction t…
Yacine Aı̈t-Sahalia, Per A. Mykland, Lan Zhang
OpenAlex · 1995 · cites 1352
Foreword. 1. Markets and Market--Making. 2. Inventory Models. 3. Information--Based Models. 4. Strategic Trader Models I: Informed Traders. 5. Strategic Trader Models II: Uninformed Traders. 6. Information and the Price Process. 7. Market Viability and Stability. 8. Liquidity and the Relationships between Markets. 9. Issues in Market Performance.
Maureen O’Hara
OpenAlex · European Finance Review · 2014 · cites 64
Abstract Following the “flash crash” on May 6, 2010, warning signals for impending market stress have been in high demand, yet only the VPIN metric of Easley, López de Prado, and O’Hara (ELO) has claimed success. In addition, ELO find the metric useful in predicting short-term volatility. VPIN involves decomposing volume into active buys and sells. We utilize quotes and trade data to construct an accurate trade class…
Torben G. Andersen, Oleg Bondarenko
arXiv · arXiv q-fin · 2020
Many empirical studies have discussed market liquidity, which is regarded as a measure of a booming financial market. Further, various indicators for objectively evaluating market liquidity have also been proposed and their merits have been discussed. In recent years, the impact of high-frequency traders (HFTs) on financial markets has been a focal concern, but no studies have systematically discussed their relations…
Isao Yagi, Yuji Masuda, Takanobu Mizuta
OpenAlex · The Quarterly Journal of Economics · 2015 · cites 893
Abstract The high-frequency trading arms race is a symptom of flawed market design. Instead of the continuous limit order book market design that is currently predominant, we argue that financial exchanges should use frequent batch auctions: uniform price double auctions conducted, for example, every tenth of a second. That is, time should be treated as discrete instead of continuous, and orders should be processed i…
Eric Budish, Peter Cramton, John J. Shim
OpenAlex · Review of Financial Studies · 2014 · cites 1218
We examine the role of high-frequency traders (HFTs) in price discovery and price efficiency. Overall HFTs facilitate price efficiency by trading in the direction of permanent price changes and in the opposite direction of transitory pricing errors, both on average and on the highest volatility days. This is done through their liquidity demanding orders. In contrast, HFTs' liquidity supplying orders are adversely sel…
Jonathan Brogaard, Terrence Hendershott, Ryan Riordan
OpenAlex · Quantitative Finance · 2010 · cites 340
We study model-driven statistical arbitrage in U.S. equities. The trading signals are generated in two ways: using Principal Component Analysis and using sector ETFs. In both cases, we consider the residuals, or idio-syncratic components of stock returns, and model them as mean-reverting processes. This leads naturally to “contrarian ” trading signals. The main contribution of the paper is the construction, back-test…
Marco Avellaneda, Jeong-Hyun Lee
OpenAlex · Quantitative Finance · 2005 · cites 299
‘Pairs Trading’ is an investment strategy used by many Hedge Funds. Consider two similar stocks which trade at some spread. If the spread widens short the high stock and buy the low stock. As the spread narrows again to some equilibrium value, a profit results. This paper provides an analytical framework for such an investment strategy. We propose a mean-reverting Gaussian Markov chain model for the spread which is o…
Robert J. Elliott, John van der Hoek, W.P. Malcolm
arXiv · arXiv · 2026
Financial decision systems require fast surrogate models for pricing, calibration, hedging, XVA, stress testing, and portfolio optimization. Standard neural surrogates reproduce prices or risk quantities, but downstream tasks depend as much on derivatives: deltas, vegas, curve and credit-spread sensitivities, exposure and objective gradients. We formulate a derivative-informed operator-learning framework in which the…
Miquel Noguer I Alonso
arXiv · arXiv · 2026
We demonstrate that wave amplification enables even weak nonlinearities to reshape linear wave-packet transport in nonreciprocal systems. We study the dynamics of bulk Gaussian wave packets in the Hatano--Nelson model with onsite cubic nonlinearity. We show that the interplay between nonlinearity and amplification generates growing frequency shifts that drive the wave packet through three successive dynamical regimes…
Bertin Many Manda, Vassos Achilleos
arXiv · arXiv · 2026
Magnetohydrodynamic (MHD) phenomena play a pivotal role in the design and operation of nuclear fusion systems, where electrically conducting fluids (such as liquid metals or molten salts employed in reactor blankets) interact with magnetic fields of varying intensity and orientation, influencing the resulting flow dynamics. The numerical solution of MHD models entails the resolution of highly nonlinear, multiphysics …
M. Lo Verso, C. Introini, E. Cervi, L. Savoldi, J. N. Kutz