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A hybrid alpha-stable model development for high frequency trading markets

Author

Listed:
  • José Antonio Climent Hernández

    (Universidad Autónoma Metropolitana, México)

  • Luis Fernando Hoyos-Reyes

    (Universidad Autónoma Metropolitana, México)

  • Marissa R. Martínez-Preece

    (Universidad Autónoma Metropolitana, México)

Abstract

Business activities require to obtain, organize and manage information from large amounts of data. In hedge funds, short selling trade and derivatives valuation, agents change their strategies to improve profits, and therefore to increase their possibilities to remain in the market, as a result of finding more accurate methods to process ever larger volume of information, considering that the information is not evenly distributed among markets participants. In this paper, a hybrid three stage model is formulated consisting of: a high frequency market model through a non-stationary Compound Poisson Process, a multilayer perceptron trained by backpropagation and, finally, estimators based on alpha-stable distributions, as an initial overview to develop a high frequency trading market operating system.

Suggested Citation

  • José Antonio Climent Hernández & Luis Fernando Hoyos-Reyes & Marissa R. Martínez-Preece, 2018. "A hybrid alpha-stable model development for high frequency trading markets," Contaduría y Administración, Accounting and Management, vol. 63(4), pages 31-32, Octubre-D.
    • Handle: RePEc:nax:conyad:v:63:y:2018:i:4:p:31-32
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    References listed on IDEAS

    as
    1. Menkveld, Albert J., 2013. "High frequency trading and the new market makers," Journal of Financial Markets, Elsevier, vol. 16(4), pages 712-740.
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