Ultra high frequency financial data

GECCO'08: Proceedings of the 10th Annual Conference on Genetic and Evolutionary Computation 2008

Volumn , Issue , 2008, Pages 1847-1849

  Sewell, Martin V ^a   Wei, Yan ^a  

^a UNIVERSITY COLLEGE LONDON   (United Kingdom)

Author keywords

Data; Evolutionary algorithms; Finance; High frequency

Indexed keywords

COMPUTER SCIENCE; EVOLUTIONARY ALGORITHMS; FINANCE;

DATA; FINANCIAL DATA; HIGH FREQUENCY HF; RESEARCH CHALLENGES; TRADING SYSTEMS; ULTRA-HIGH FREQUENCY;

PARTIAL DISCHARGES;

EID: 57349162062     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1145/1388969.1388988     Document Type: Conference Paper

References (13)

1. B. Biais, L. Glosten, and C. Spatt. Market microstructure: A survey of microfoundations, empirical results, and policy implications. Journal of Financial Markets, 8(2):217-264, May 2005.
2. C. Cao, O. Hansch, and X. Wang. The informational content of an open limit order book. 31st EFA Annual Meeting - Maastricht, 18-21 August 2004 and Sixty Fifth Annual Meeting of the American Finance Association, Philadelphia, PA January 7-9, 2005, Mar. 2004.
3. J. D. Farmer, L. Gillemot, F. Lillo, S. Mike, and A. Sen. What really causes large price changes? Quantitative Finance., 4(4):383-397, Aug. 2004.
4. L. Harris. Trading and Exchanges: Market Microstructure for Practitioners. Financial Management Association Survey and Synthesis Series. Oxford University Press, New York, Sept. 2002.
5. L. Harris and J. Hasbrouck. Market vs. limit orders: The SuperDOT evidence on order submission strategy. The Journal of Financial and Quantitative Analysis, 31(2):213-231, June 1996.
6. J. Hasbrouck. Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading. Oxford University Press, New York, Dec. 2006.
7. R. Kaniel and H. Liu. So what orders do informed traders use? The Journal of Business, 79(4):1867-1913, July 2006.
8. H. M. Kat. Of market makers and hedge funds. Cass Business School, City University, London, Feb. 2007.
9. R. K. Lyons. The Microstructure Approach to Exchange Rates. The MIT Press, Cambridge, MA, Dec. 2001.
10. G. E. Moore. Cramming more components onto integrated circuits. Electronics, 38(8):114-117, Apr. 1965.
11. M. O'Hara. Market Microstructure Theory. Blackwell Publishing, Malden, MA, Feb. 1995.
12. S. Taub. Really big bucks. Alpha, May 2006.
13. P. Weber and B. Rosenow. Large stock price changes: Volume or liquidity? Quantitative Finance, 6(1):7-14, Feb. 2006.