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  • Comparison and evaluation of existing high-frequency market making algorithms which provide continuous bid and ask liquidity in financial markets is very difficult, because algorithm effects directly influence behaviour of trader and that influences back the behaviour of algorithm (a chicken-egg problem). The paper presents representative sample of algorithms, focuses on their differences and proposes a set of areas which are important for comparison due to market specifics.
  • Comparison and evaluation of existing high-frequency market making algorithms which provide continuous bid and ask liquidity in financial markets is very difficult, because algorithm effects directly influence behaviour of trader and that influences back the behaviour of algorithm (a chicken-egg problem). The paper presents representative sample of algorithms, focuses on their differences and proposes a set of areas which are important for comparison due to market specifics. (en)
Title
  • Comparative Attributes of High-frequency Market Making Algorithms
  • Comparative Attributes of High-frequency Market Making Algorithms (en)
skos:prefLabel
  • Comparative Attributes of High-frequency Market Making Algorithms
  • Comparative Attributes of High-frequency Market Making Algorithms (en)
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  • RIV/00216305:26230/13:PU106330!RIV14-MSM-26230___
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  • S, Z(MSM0021630528)
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  • 66076
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  • RIV/00216305:26230/13:PU106330
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  • market making, high-frequency, financial market, comparison of algorithms, bid and ask liquidity (en)
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  • [4F97F5A6EE96]
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  • Brno
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  • Brno
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  • Proceedings of the 19th Conference and Competition STUDENT EEICT 2013 Volume 3
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  • Vysoké učení technické v Brně. Fakulta informačních technologií
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  • 978-80-214-4695-3
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  • 26230
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