the anatomy of a high-frequency trader: human and machine proportions
TRANSCRIPT
THE ANATOMY OFA HIGH-FREQUENCY TRADER:
HUMAN AND MACHINE PROPORTIONS
Tommi A. Vuorenmaa, PhD25th November, 2014
Presentation
@ C
FA Society
Finland Sem
inarin H
elsinki, Finland
Spread
Liquidity
Volatility
Price discovery
Market efficiency
Front-running
Manipulation
Flash crashes
AN EXAMPLE
HUMAN AND MACHINE PROPORTIONS
Tommi A. Vuorenmaa 2014
AN EXAMPLE
TE
CH
NO
LO
GIC
AL
SO
LU
TIO
NS
TR
AD
ING
STR
AT
EG
IES
MARKET MICROSTRUCTURE THEORY
INF
N
MM
Tommi A. Vuorenmaa 2014
RE
GU
LA
TIO
NS
Authorizationrequirement*
System and risk controls
Identificationof algorithms
Order-to-trade ratio
BaFin
AN EXAMPLE
*In Germany, HFT techniques are characterized by: 1) Use oflatency minimizing infrastructure, 2) a system without humanintervention, and 3) high message intra-day rates.
Tommi A. Vuorenmaa 2014
Autom
atedT
raderM
agazine 4/2014
FUTURE DIRECTION
triangleintelligence.com/anatomyhft.pdf