Journal of Trading. Vol. 8, No. 3. 2013.
19 Pages Posted: 18 Sep 2013 Last revised: 9 Aug 2015
Date Written: February 15, 2013
In the age of automation, trading and market making is about estimating the fair price of automated trading system research and development projects. This requires a new methodology to arrive at such a fair price. A real options framework is a natural choice. In this paper we review a methodology for automated trading system R&D and present a practical real option model for valuing such projects so as to enable rapid strategy cycling.
Keywords: high-frequency trading, R&D project management, real options
Suggested Citation: Suggested Citation
Kumiega, Andrew and Van Vliet, Ben, A Practical Real Options Approach to Valuing High Frequency Trading System R&D Projects (February 15, 2013). Journal of Trading. Vol. 8, No. 3. 2013.. Available at SSRN: https://ssrn.com/abstract=2327201 or http://dx.doi.org/10.2139/ssrn.2327201