Index
Abergel, Frédéric
ABEs see adaptive Bayesian type estimators
AC 2000
active/passive sides in transactions, definitions
adaptive Bayesian type estimators (ABEs)
adaptive complex systems
adaptive random symbol, concepts
ADBE, NASDAQ limit order flows
adverse selection costs
see also asymmetric information
AEX
Agency Algorithms (AA)
agent-based models
aggressive limit orders
algorithmic trading
see also high-frequency traders; optimal trading strategies
adverse selection costs
concepts
conclusions
costs and benefits
crash of May 6 2010
critique
definitions
efficient markets
empirical evidence
historical background
introductory background
issues
liquidity considerations
market structures
messages traffic
performance analysis
price discovery
pricing errors
risk sources
scope and profitability
search costs
statistics
stress tests
systemic risk
trading strategies
typology
volatilities
welfare effects
Almgren–Chriss formulation
alpha
see also capital asset pricing model; short-term …
alternative trading systems (ATSs)
anticipative random symbol
arbitrageurs
see also Proprietary Algorithms; speculation; statistical …
hidden-order arbitrage theory
high-frequency correlations results
statistics
ARCH
Arrow, Kenneth
asset classes
asset management
asymmetric information
see also adverse selection costs
definition
asymptotic expansions
see also quasi likelihood analysis
at the market postings
ATD
ATSs see alternative trading systems
autocorrelation
Autoquote software, NYSE
‘average limit order book’
back-loaded execution schedules
Banach spaces
Bank of America
bare impact functions, impact of all order book events
Barra model
BATS
Bayes’ formula
Bayesian equilibrium
Bayesian estimators
behavioral finance
behind the market postings
benchmarks
‘best execution’ duty
beta coefficient
see also capital asset pricing model; short-term alpha
biases
see also short-term alpha
bid-ask spreads
see also liquidity issues
comovement effects
empirical evidence
HFT critique
high-frequency correlations results
impact of all order book events
NASDAQ limit order flows
order choice/information in limit order markets
resiliency concepts
binomial trees, fundamental values
bivariate Gaussians
Black, Fischer
Bloomberg
BLOs see buy limit orders
BMOs see buy marker orders
BNPP.PA/SOGN.PA, high-frequency correlations results
the book see limit order books
Bouchaud, Jean-Philippe
broker-dealers
brokers
see also Agency Algorithms (AA)
behaviours of other brokers
collective portfolio optimization and transaction costs
Brownian motion
see also random walks; Wiener processes
buy limit orders (BLOs)
see also bid-ask …
buy marker orders (BMOs)
CAC trading system
CAC40
calibration of the models, impact of all order book events
cancellations/modifications
capital allocations, algorithmic trading
capital asset pricing model (CAPM)
see also alpha … ; beta … ; idiosyncratic risk; market risk; portfolio optimization; risk-free rates
CAPM see capital asset pricing model
Center for Research in Security Prices database (CRSP)
central limit theorem (CLT)
CFTC–SEC report on the crash of May 6 2010
CG see constant gap model
Challet, Damien
chi-squared quantiles, high-frequency correlations results
Chi-X
child orders, parent orders
Citadel hedge fund
closed-form optimal execution solutions, critique
CLT see central limit theorem
CME
co-location services
collective portfolio optimization in brokerage data, transaction cost uses
commissions see fee structures
commodities markets
comovement effects, bid-ask spreads
company investors, collective portfolio optimization in brokerage data
computer systems
see also algorithmic trading; electronic trading platforms; high-frequency traders
failures
innovation benefits
overinvestments
concave functions
constant gap model (CG), impact of all order book events
‘constant participation rate’ strategies
continuous distributions
continuous time models
correlations
see also high-frequency …
costs and benefits of algorithmic trading
covariance
see also nonsynchronous …
crash of May 6 2010
credit crunch from 2007
Credit Suisse
Criscuolo, Adriana M.
crossed markets, definition
crowding-out effects, market-makers
CRSP see Center for Research in Security Prices database
currency markets
Dark Pools, statistics
data description of some recent results, high-frequency correlations
Dax
De Jong and Nijman estimator
D.E. Shaw hedge fund
dealers, roles
decay factors
density plots
derivatives markets
see also futures; options
designated order turnaround system (DOT)
Deutsche Börse
diagonal effects of Biasis et al
difference equations
diffusion processes
see also Brownian motion
Direct Edge, statistics
‘directional strategies’, SEC
discrete time models
DISH, NASDAQ limit order flows
distributional issues, HFT critique
distributions
see also Chi-squared … ; Gaussian … ; inverse-gamma … ; log-normal … ; Poisson …
martingales
types
diversifications, portfolio optimizations
DJIA
DOT see designated order turnaround system
double linear regressions
drift estimations
duration between trades
Dutch stock indexes
E-mini S&P500 index
EAD.PA
earnings announcements
EBS
ECNs see electronic communication networks
econometric models
EDF.PA/GSZ.PA, high-frequency correlations results
efficient markets
efficient prices
efficient volatilities
Eisler, Zoltán
electronic communication networks (ECNs)
electronic market-makers
see also limit orders; market-makers; Proprietary Algorithms
electronic trading platforms
see also computer systems
empirical evidence
Epps effect
equities markets
ergodic diffusion processes, QLA
ETFs
EUREX
euro–dollar rates
euro–yen rates
Euronext
Euronext–Amsterdam
Europe
EuroSETS
event-based trading strategies
excess returns
execution risk
execution sizes
execution times
expected returns
see also short-term alpha
expected utilities
exposure risk
extreme events
failed computer systems
‘fat finger errors’, human errors
fat tails
FCE/FSMI (future/future), high-frequency correlations results
FCE/TOTF.PA (future/stock), high-frequency correlations results
fee structures
see also transaction costs
FGLW
FIML see full information maximum likelihood
firm-specific information
first-movers
fixed-income securities
fleeting orders
footprints, order flow data
forward optimizing methods
Foucault, Thierry
Fourier transforms
fractional Brownian motion
France
front-loading executions
FSMI/NESN.VX (future/stock), high-frequency correlations results
FTSE
full information maximum likelihood (FIML)
functional limit theorem, nonsynchronous covariance estimations
fundamental values
futures
game theory
games of attrition
gamma distributions
GARCH
Gaussian distributions
Germany
GETCO
GOOG, NASDAQ limit order flows
Google, misinformation
graph comparisons, decay factors
‘gravitational pull’
the Greeks
Grossman and Stiglitz paradox
GSZ.PA
Hautsch, Nikolaus
Hawkes processes
Hayashi–Yoshida cross-correlation estimator
HDIM see history dependent impact model
hedging
heuristics
HFTs see high-frequency traders
hidden-order arbitrage theory
hidden-order executions
high-frequency correlations
data description of some recent results
Hayashi–Yoshida cross-correlation estimator
intraday seasonality profiles
lead/lag relationships
multivariate cases
recent results
univariate cases
high-frequency traders (HFTs)
see also algorithmic trading
critique
debates
definition
historical background
major players
market powers
nonsynchronous covariance estimations
policy debates
scope and profitability
statistics
history dependent impact model (HDIM)
see also market impacts
‘hot information’
Huang, Ruihong
human errors
hump shapes, limit order books
Huth, Nicolas
HY-estimators
hyperbolic distributions
IBM
Ibragimov–Has’minskii–Kutoyants program
idiosyncratic risk
IMC
immediate-or-cancel orders (IOCs)
indexes
arbitrage
futures
high-frequency correlations results
influence matrices
information
content of orders
efficiencies
empirical evidence on algorithmic trading
limit order markets
misinformation problems
order choice/information in limit order markets
ratios
search costs
ticker-tape information
zero sum games
informed traders
innovation benefits, computer systems
institutional investors
see also mutual funds; pension funds
intensity, Poisson processes
interest rates
intermediaries
International Conference
interpolation methods, nonsynchronous covariance estimations
intraday seasonality profiles
inventory risk
inverse-gamma distributions
investment banks
investors
see also institutional … ; retail …
HFT critique
IOCs see immediate-or-cancel orders
irregular sampling schemes
ITG
Itô processes
see also stochastic …
Japan
jump diffusion processes
see also Brownian … ; Poisson …
QLA
jumps
see also Poisson processes
Kirman's work on Marseille's fish market
Kockelkoren, Julien
Krugman, Paul
‘lambda’, the Greeks
LAMN see local asymptotic mixed normality
large cap stocks
large tick stocks, impact of all order book events
latency
see also speed issues
law of large numbers
lead/lag relationships (LLR)
Lehalle, Charles-Albert
Lévy processes
limit order books
characteristics
definition
limit order markets
see also order choice/information
limit orders
see also electronic market-makers
cancellations/modifications
definition
econometric model for the market impact of limit orders
empirical evidence
estimations
HFT critique
impact of all order book events
information
intraday seasonality profiles
market impacts
NASDAQ limit order flows
optimal order sizes
picking-off lists
statistics
time series
volatilities
limit theorems
linear interpolations
linear regression
liquidity issues
see also bid-ask spreads
dynamics
HFT critique
provision resources
‘liquidity rebates’
‘liquidity refill’ mechanism
LKQX, NASDAQ limit order flows
LLR see lead/lag relationships
LOBSTER software
local asymptotic mixed normality (LAMN)
locally asymptotically normal (LAN)
log likelihoods
see also quasi likelihood analysis
log-account value relationship, log-turnover per transaction
log-log scale plots
log-normal distributions
log-turnover per transaction, log-account value relationship
long-run quote reactions, limit order flows
long-term investors
see also institutional … ; retail …
LSE
macro-economic information
Mahalanobis distance of returns, high-frequency correlations results
Malkiel, Burton
Malliavin calculus
manipulation concerns, HFT critique
many-event impact models, impact of all order book events
market depth
market design choices
market events
market impacts
see also price …
all order book events
cancellations/modifications
CG
concave functions
econometric model for the market impact of limit orders
empirical evidence
estimations
HDIM
limit orders
many-event impact models
market orders
NASDAQ
optimal order sizes
order book events
short-term alpha
summary of market order models
TIM
TotalView-ITCH data
market micro-structure, trading
market orders
definition
empirical evidence on information content
impact of all order book events
market impacts
NASDAQ
market organizations, HFT critique
market powers, HFT critique
market quality
see also liquidity issues; price discovery; welfare effects
empirical evidence on algorithmic trading
market risk
market structures, algorithmic trading
market-makers
see also electronic …
marketable orders, definition
Markov processes
Marseille's fish market
martingales
see also stochastic processes
matching engines, historical background
Mathematica 8
mean-variance framework
see also optimal …
media, HFT debates
median daily turnover, NASDAQ limit order flows
mergers of stock exchanges
messages traffic, algorithmic trading
MiFID
misinformation problems
mixing expansion
momentum considerations
monitoring costs
Monte Carlo simulations
Morton de Lachapelle, David
MTFs see multilateral trading facilities
multi-unit trading
multilateral trading facilities (MTFs)
see also BATS; Chi-X; Turquoise
definition
multivariate cases, high-frequency correlations results
mutual funds
NASDAQ
background
cancellations/modifications
impact of all order book events
limit order flows
market impacts
optimal order sizes
statistics
NASDAQ OMX BX, statistics
NESN.VX
news
newsreader algorithms
‘no trade-through rule’ see ‘order protection rule’
noise
nondisplay orders
nonparametric regression methods
nonstationary Hawkes processes
nonsynchronous covariance estimations
normal distributions see Gaussian distributions
normal limit orders, econometric model for the market impact of limit orders
normal market orders, econometric model for the market impact of limit orders
NS Solutions Corporation
numerical solutions
see also Monte Carlo simulations
NYSE
Autoquote software
Euronext merger
SuperDOT limit order book
NYSE Arca, statistics
open, high, low, and close prices (OHLC)
opportunity costs
see also search …
optimal execution, definition
optimal order sizes
optimal trading strategies
see also algorithmic trading; portfolio optimizations; quantitative finance
collective portfolio optimization in brokerage data
concepts
econometric models
hidden-order arbitrage theory
performance analysis
schedules
short-term alpha
stress tests
theoretical frameworks
transaction cost structures
options
Optiver
‘order anticipation’ trading strategies, SEC
order books
characteristics
dynamics
impact of all order book events
market impacts
NASDAQ limit order flows
order choice/information in limit order markets
asymmetric information
empirical evidence
fundamental values
future research questions
symmetric information
‘order concentration rule’, MiFID
order flow data
order imbalances
‘order protection rule’, RegNMS regulations
ordinary least squares (OLS)
Ornstein–Uhlenbeck processes
over the counter markets (OTCs)
overinvestments in computer systems, welfare effects on slow traders
overnight returns
Pakes and McGuire algorithm
parent orders, child orders
‘participation rate’ strategies
passive limit orders, econometric model for the market impact of limit orders
passive/active sides in transactions, definitions
past returns
pension funds
performance analysis, optimal trading strategies
permanent price impact function
perturbation method
PEUP.PA
‘phi’, the Greeks
picking-off lists
‘pinging’ strategies
Pipeline data
PLDs see polynomial large deviations
Poisson distributions
Poisson processes
policy debates, HFTs
polynomial large deviations (PLDs)
portfolio optimizations
see also optimal trading strategies
collective portfolio optimization in brokerage data
diversifications
heterogeneous parameters
returns
short-term alpha
portfolio values, turnover relationship
positioning losses
positive feedback traders, definition
post-trade TCA
power-law distributions
practitioners, HFT debates
previous-tick interpolations
price discovery
fundamental values
HFT critique
price impacts
see also market … ; volatilities
algorithmic trading
concepts
information content of orders
order book events
order choice/information in limit order markets
order flow data
permanent function
symmetric information
temporary function
price-reversal (contrarian) strategies
price/time trade-off models
prices
efficient prices
errors
high-frequency correlations results
impact of all order book events
NASDAQ limit order flows
overshooting
probit models
profitability issues, algorithmic trading
program trading
‘propagator’ concepts
Proprietary Algorithms (PA)
‘psi’, the Greeks
PTEN, NASDAQ limit order flows
QBEs see quasi Bayesian estimators
QLA see quasi likelihood analysis
QMLEs see quasi maximum likelihood estimators
QQ-plots, high-frequency correlations results
quantitative finance
see also optimal trading strategies
QuantLab
quasi Bayesian estimators (QBEs)
quasi likelihood analysis (QLA)
see also asymptotic expansions
asymptotic behaviour
definition
ergodic diffusion processes
semimartingales
volatilities in finite time-horizons
quasi maximum likelihood estimators (QMLEs)
quoted depth
quotes files
R community
random walks
see also Brownian motion
RCOV
realized volatilities
recursive systems
references
RegNMS regulations
regulators
HFT debates
MiFID
RegNMS regulations
Renaissance hedge fund
RENA.PA/PEUP.PA, high-frequency correlations results
reserve orders
residual risks
resiliency concepts
response functions, market impacts
retail investors
‘return’ response functions, impact of all order book events
returns
see also short-term alpha
excess returns
high-frequency correlations results
impact of all order book events
market impacts
NASDAQ limit order flows
past returns
portfolio optimizations
risk
Reuters Tick Capture Engine (RTCE)
risk
see also idiosyncratic … ; inventory … ; systemic …
aversion
returns
sources
risk-adjusted costs
definition
optimal trading strategies
risk-free rates
risk-neutral traders
Rosu, Ioanid
RTCE see Reuters Tick Capture Engine
S&P500 index
SAC hedge fund
sampling periods, high-frequency correlations results
scatter plots
schedules, optimal trading strategies
scope and profitability, algorithmic trading
search costs
SEC
sell limit orders (SLOs)
see also bid-ask …
sell marker orders (SMOs)
semimartingales
see also stochastic processes
Sharpe ratios
shock vectors, market impacts
short-run quote reactions, limit order flows
short-term alpha
see also capital asset pricing model; expected returns
decay factors
definition
main results
signaling risk, hidden-order arbitrage theory
signed events, impact of all order book events
simulated annealing
simulations
sliding scales, fee structures
‘slippage’ of the trading processes
SLOs see sell limit orders
slow traders
Slutsky's theorem
small cap stocks
small tick stocks, impact of all order book events
‘smart’ liquidity traders, informed traders
‘smart routing technologies’
SMOs see sell marker orders
software developers
SOGN.PA
specific risk see idiosyncratic risk
speculation
see also arbitrageurs
speed issues
see also latency
split orders
standard deviations
stationary impacts, critique
statistical arbitrageurs (stat arbs)
statistical inference
statistical physics
stochastic clocks
stochastic differential equations
stochastic integral equations
stochastic processes
see also Brownian motion; Itô … ; martingales; semimartingales
stochastic sequential games
stochastic subordination framework
stock exchanges
see also individual exchanges; LSE; NASDAQ; NYSE
mergers
stop orders
see also cancellations …
STRA, NASDAQ limit order flows
stress tests, optimal trading strategies
subprime crisis see credit crunch from 2007
subtrades, multiple limit order executions
Sun Trading
survival function of a random variable, definition
Swissquote Bank SA
Switzerland
symmetric information, order choice/information in limit order markets
systemic risk
see also market …
tail probability estimates
tax considerations, slow traders
technical analysis, liquidity provisions
temporary price impact function
ticker-tape information
TIM see transient impact model
time series, limit orders
timestamps, high-frequency correlations results
TOPIX system
TopixCore30
total costs
see also transaction costs
definition and constraints
market impact concave functions
optimization
TotalView-ITCH data
TOTF.PA
trade-related information
see also duration between trades; order flow … ; price … ; volumes
concepts
Tradebot
trades files
trading accounts
trading desks
trading and market micro-structure
trading strategies
see also optimal …
transaction costs
see also fee structures; total costs
collective portfolio optimization trading strategies
HFT critique
institutional investors
mean-variance framework
optimal trading strategies
short-term alpha
transient impact model (TIM)
see also market impacts
transitory volatilities
transparency characteristic, limit order books
triangular arbitrage
turnover relationship, portfolio values
Turquoise
UK
United Airlines
univariate cases, high-frequency correlations results
University of Tokyo
US
US Treasury Bonds
UTHR, NASDAQ limit order flows
valuations of assets
value traders
Vancouver exchange
VAR see vector autoregression approach
variance
see also covariance
VECs see vector error corrections
vector autoregression approach (VAR)
vector error corrections (VECs)
volatilities
see also price impacts
algorithmic trading
clustering
efficient volatilities
empirical evidence on algorithmic trading
HFT critique
impact of all order book events
limit orders
QLA in finite time-horizons
statistical inference
transitory volatilities
volume weighted average prices (VWAPs)
volumes
VRTX, NASDAQ limit order flows
VWAPs see volume weighted average prices
Waelbroeck, Henri
waiting costs, order choice/information in limit order markets
‘walking through the book’ trades
WCRX, NASDAQ limit order flows
weakly dependent variables, CLT extensions
welfare effects of algorithmic trading
WFMI, NASDAQ limit order flows
whisker plots
white noise
Wiener processes
see also Brownian motion
‘winner take all’ attitudes
winner's curse
‘wisdom of the crowds’
Wolverine
yen–dollar rates
Yoshida, Nakahiro
YUIMA application
YUIMA II project
Z-estimators
zero sum games
Index compiled by Terry Halliday