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Algorithmic trading: issues and preliminary evidence

Author

Listed:
  • Thierry Foucault

    (GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique)

Abstract

Based on the December 2010 conference on market microstructure, organized with the help of the Institut Louis Bachelier, this guide brings together the leading thinkers to discuss this important field of modern finance. It provides readers with vital insight on the origin of the well-known anomalous "stylized facts" in financial prices series, namely heavy tails, volatility, and clustering, and illustrates their impact on the organization of markets, execution costs, price impact, organization liquidity in electronic markets, and other issues raised by high-frequency trading. World-class contributors cover topics including analysis of high-frequency data, statistics of high-frequency data, market impact, and optimal trading. This is a must-have guide for practitioners and academics in quantitative finance.

Suggested Citation

  • Thierry Foucault, 2012. "Algorithmic trading: issues and preliminary evidence," Post-Print hal-00711389, HAL.
    • Handle: RePEc:hal:journl:hal-00711389
    as

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    Citations

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    Cited by:

    1. Jaqueson K. Galimberti & Nicolas Suhadolnik & Sergio Silva, 2017. "Cowboying Stock Market Herds with Robot Traders," Computational Economics, Springer;Society for Computational Economics, vol. 50(3), pages 393-423, October.
    2. Hoffmann, Peter, 2013. "A dynamic limit order market with fast and slow traders," Working Paper Series 1526, European Central Bank.
    3. Pascual, Roberto & Pascual-Fuster, Bartolomé, 2014. "The relative contribution of ask and bid quotes to price discovery," Journal of Financial Markets, Elsevier, vol. 20(C), pages 129-150.
    4. Jørgensen, Kjell & Skjeltorp, Johannes Atle & Ødegaard, Bernt Arne, 2014. "Throttling hyperactive robots - Message to trade ratios at the Oslo Stock Exchange," UiS Working Papers in Economics and Finance 2014/3, University of Stavanger.
    5. Lee, Kyungsub & Seo, Byoung Ki, 2017. "Marked Hawkes process modeling of price dynamics and volatility estimation," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 174-200.
    6. Hoffmann, Peter, 2014. "A dynamic limit order market with fast and slow traders," Journal of Financial Economics, Elsevier, vol. 113(1), pages 156-169.
    7. Hoffmann, Peter, 2012. "A dynamic limit order market with fast and slow traders," MPRA Paper 39855, University Library of Munich, Germany.
    8. Hoffmann, Peter, 2012. "A dynamic limit order market with fast and slow traders," MPRA Paper 44621, University Library of Munich, Germany, revised Jan 2013.

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    Keywords

    Algorithmic trading;

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