Conference paper

SOPUCH Zbyněk. Comparative Attributes of High-frequency Market Making Algorithms. In: Proceedings of the 19th Conference and Competition STUDENT EEICT 2013 Volume 3. Brno: Faculty of Information Technology BUT, 2013, pp. 212-216. ISBN 978-80-214-4695-3.
Publication language:english
Original title:Comparative Attributes of High-frequency Market Making Algorithms
Title (cs):Srovnávací atributy vysokofrekvenčních market making algoritmů
Pages:212-216
Proceedings:Proceedings of the 19th Conference and Competition STUDENT EEICT 2013 Volume 3
Conference:Student EEICT 2013
Place:Brno, CZ
Year:2013
ISBN:978-80-214-4695-3
Publisher:Faculty of Information Technology BUT
Keywords
market making, high-frequency, financial market, comparison of algorithms, bid and ask liquidity
Annotation
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{
   author = {Zbyn{\v{e}}k Sopuch},
   title = {Comparative Attributes of High-frequency Market Making
	Algorithms},
   pages = {212--216},
   booktitle = {Proceedings of the 19th Conference and Competition STUDENT
	EEICT 2013 Volume 3},
   year = {2013},
   location = {Brno, CZ},
   publisher = {Faculty of Information Technology BUT},
   ISBN = {978-80-214-4695-3},
   language = {english},
   url = {http://www.fit.vutbr.cz/research/view_pub.php?id=10280}
}

Your IPv4 address: 54.224.138.120
Switch to IPv6 connection

DNSSEC [dnssec]