Advances in High Frequency Strategies
Marcos Lopez de Prado
Hess Energy Trading Company; Lawrence Berkeley National Laboratory; RCC at Harvard University
December 1, 2011
Doctoral Dissertation, Complutense University, Madrid, 2011
SEC and CFTC reports estimate that High Frequency strategies are responsible for about 60% of all transactions on U.S. shares. In Europe, this percentage is around 40% and growing. High Frequency strategies are those characterized by a brief holding period, which can range from a split second to a few hours. This enables traders to place numerous independent bets per day on an instrument or portfolio, profiting from the multiplicative effect postulated by the Fundamental Law of Active Management. The goal is to exploit inefficiencies derived from the market’s microstructure (rigidities, agents’ idiosyncrasies, asymmetric information, etc.). The generalization of electronic markets and ubiquitous automation of financial transactions has rendered many established models and theories obsolete. The objective of this work is to present a new scientific framework for the study of some of the most relevant questions concerning High Frequency.
Number of Pages in PDF File: 42
Keywords: High Frequency Trading, Market Microstructure, Trading Strategies, Execution, Market Making, Risk Modeling, Portfolio Optimization
JEL Classification: C02, D52, D53, G14working papers series
Date posted: July 14, 2012 ; Last revised: August 20, 2012
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo3 in 0.471 seconds