Publication detail

Comparative Attributes of High-frequency Market Making Algorithms

SOPUCH, Z.

Original Title

Comparative Attributes of High-frequency Market Making Algorithms

Type

article in a collection out of WoS and Scopus

Language

English

Original Abstract

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.

Keywords

market making, high-frequency, financial market, comparison of algorithms, bid and ask liquidity

Authors

SOPUCH, Z.

RIV year

2013

Released

28. 4. 2013

Publisher

Faculty of Information Technology BUT

Location

Brno

ISBN

978-80-214-4695-3

Book

Proceedings of the 19th Conference and Competition STUDENT EEICT 2013 Volume 3

Pages from

212

Pages to

216

Pages count

5

BibTex

@inproceedings{BUT103470,
  author="Zbyněk {Sopuch}",
  title="Comparative Attributes of High-frequency Market Making Algorithms",
  booktitle="Proceedings of the 19th Conference and Competition STUDENT EEICT 2013 Volume 3",
  year="2013",
  pages="212--216",
  publisher="Faculty of Information Technology BUT",
  address="Brno",
  isbn="978-80-214-4695-3"
}