Abstract

http://ssrn.com/abstract=2106117
 
 

References (151)



 


 



Advances in High Frequency Strategies


Marcos Lopez de Prado


Guggenheim Partners, LLC; Lawrence Berkeley National Laboratory; Harvard University - RCC

December 1, 2011

Doctoral Dissertation, Complutense University, Madrid, 2011

Abstract:     
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, G14

working papers series





Download This Paper

Date posted: July 14, 2012 ; Last revised: August 20, 2012

Suggested Citation

Lopez de Prado, Marcos, Advances in High Frequency Strategies (December 1, 2011). Doctoral Dissertation, Complutense University, Madrid, 2011. Available at SSRN: http://ssrn.com/abstract=2106117 or http://dx.doi.org/10.2139/ssrn.2106117

Contact Information

Marcos Lopez de Prado (Contact Author)
Guggenheim Partners, LLC ( email )
330 Madison Avenue
New York, NY 10017
United States
HOME PAGE: http://www.QuantResearch.info
Lawrence Berkeley National Laboratory ( email )
One Cyclotron Road
Berkeley, CA 94720
United States
HOME PAGE: http://www.lbl.gov
Harvard University - RCC ( email )
26 Trowbridge Street
Cambridge, MA 02138
United States
HOME PAGE: http://www.rcc.harvard.edu
Feedback to SSRN


Paper statistics
Abstract Views: 7,309
Downloads: 1,998
Download Rank: 3,583
References:  151

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo7 in 0.266 seconds