Introducing the HFTE Model: A Multi-Species Predator Prey Ecosystem for High Frequency Quantitative Financial Strategies

18 Pages Posted: 6 Apr 2017

See all articles by Babak Mahdavi-Damghani

Babak Mahdavi-Damghani

University of Oxford - Oxford-Man Institute of Quantitative Finance

Date Written: April 4, 2017

Abstract

In this paper we take a new approach to studying electronic trading & systemic risk by introducing the HFTE model. We specify an approach in which agents interact through a topological structure designed to address the complexity demands of most common high frequency strategies but designed randomly at inception. The primitive strategy ecosystem is then studied through a simplified genetic algorithm. The results open up intriguing social and regulatory implications with the helping doors of Mathematical Biology & Game Theory which specific mirror points have been summarized for the sake of illustrating the puzzling findings.

Keywords: HFTE Model, High Frequency Financial Funnel, HFFF, Multi-Target Tracking, Stability of Financial Systems, Data Analysis and Patterns in Data, Electronic Trading, Systemic Risk, High Frequency Trading, Game Theory, Machine Learning, Predator Prey Models

Suggested Citation

Mahdavi-Damghani, Babak, Introducing the HFTE Model: A Multi-Species Predator Prey Ecosystem for High Frequency Quantitative Financial Strategies (April 4, 2017). Available at SSRN: https://ssrn.com/abstract=2946436 or http://dx.doi.org/10.2139/ssrn.2946436

Babak Mahdavi-Damghani (Contact Author)

University of Oxford - Oxford-Man Institute of Quantitative Finance ( email )

United Kingdom

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