A note on the relationship between high-frequency trading and latency arbitrage

Created by W.Langdon from gp-bibliography.bib Revision:1.3872

@Article{Manahov:2016:IRFA,
  author =       "Viktor Manahov",
  title =        "A note on the relationship between high-frequency
                 trading and latency arbitrage",
  journal =      "International Review of Financial Analysis",
  volume =       "47",
  pages =        "281--296",
  year =         "2016",
  ISSN =         "1057-5219",
  DOI =          "doi:10.1016/j.irfa.2016.06.014",
  URL =          "http://www.sciencedirect.com/science/article/pii/S1057521916301090",
  abstract =     "We develop three artificial stock markets populated
                 with two types of market participants - HFT scalpers
                 and aggressive high frequency traders (HFTrs). We
                 simulate real-life trading at the millisecond interval
                 by applying Strongly Typed Genetic Programming (STGP)
                 to real-time data from Cisco Systems, Intel and
                 Microsoft. We observe that HFT scalpers are able to
                 calculate NASDAQ NBBO (National Best Bid and Offer) at
                 least 1.5 ms ahead of the NASDAQ SIP (Security
                 Information Processor), resulting in a large number of
                 latency arbitrage opportunities. We also demonstrate
                 that market efficiency is negatively affected by the
                 latency arbitrage activity of HFT scalpers, with no
                 countervailing benefit in volatility or any other
                 measured variable. To improve market quality, and
                 eliminate the socially wasteful arms race for speed, we
                 propose batch auctions in every 70 ms of trading.",
  keywords =     "genetic algorithms, genetic programming, Agent-based
                 modelling, High frequency trading, Algorithmic trading,
                 Market regulation, Market efficiency",
}

Genetic Programming entries for Viktor Manahov

Citations