Algorithmic trading

Computer

Volumn 44, Issue 11, 2011, Pages 61-69

  Nuti, Giuseppe ^a,b   Mirghaemi, Mahnoosh ^a   Treleaven, Philip ^a,c,d   Yingsaeree, Chaiyakorn ^a  

^a UNIVERSITY COLLEGE LONDON   (United Kingdom)

^b Deutsche Bank and Citadel Securities Developing Trading Algorithms ^*  (United Kingdom)

^c LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^d NATIONAL ELECTRONICS AND COMPUTER TECHNOLOGY CENTER   (Thailand)

Author keywords

Algorithmic trading; Black box trading; Electronic trading; Smart order routing

Indexed keywords

EID: 81355139067     PISSN: 00189162     EISSN: None     Source Type: Trade Journal    
DOI: 10.1109/MC.2011.31     Document Type: Article

References (8)

1. A. Chaboud et al., "Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market," Int'l Finance Discussion Papers, Board of Governors of the Federal Reserve System, Oct. 2009; www.federalreserve.gov/pubs/ ifdp/2009/980/ifdp980.pdf.
2. T. Hendershott, C.M. Jones, and A.J. Menkveld, "Does Algorithmic Trading Improve Liquidity?" J. Finance, Feb. 2011, pp. 1-33.
3. R.K. Narang, Inside the Black Box: The Simple Truth About Quantitative Trading, Wiley Finance, 2009.
4. Report of the Staffs of the CFTC and SEC to the Joint Advisory Committee on Emerging Regulatory Issues, "Findings Regarding the Market Events of May 6, 2010"; www.sec.gov/news/studies/2010/marketevents-report.pdf.
5. M.H. Pesaran, "Predictability of Asset Returns and the Efficient Market Hypothesis," A. Ullah and D.E. Giles, eds., Handbook of Empirical Economics and Finance, Taylor & Francis, 2010, pp. 281-312.
6. M.A. Kaboudan, "Genetic Programming Prediction of Stock Prices," J. Computational Economics, Dec. 2000, pp. 207-236.
7. J.M. Hill, "Alpha as a Net Zero-Sum Game," J. Portfolio Management, vol. 32, no. 4, 2006, pp. 24-32.
8. R. Kissell and R. Malamut, "Algorithm Decision Making Framework," J. Trading, vol. 1, no. 1, 2006, p. 10.