Centro de Referência em Informação Ambiental, CRIA Dora Ann Lange Canhos March, 2007
High-Frequency Trading (Ann-Christina Lange)
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Transcript of High-Frequency Trading (Ann-Christina Lange)
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High-Frequency Trading: Strategies and Implications
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Competitiveness Day 2015Ann-Christina Lange, ph.d., assistant professor
Institut for ledelse, politik og filosofi, Copenhagen Business School, Denmarkhttp://info.cbs.dk/crowds, ([email protected])
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Methods and Data
• A sociological approach to HFT allows us to follow the daily practices and conversations among high-frequency traders (HFTs).
• How professional HFTs (traders and programmers) themselves describe their jobs is highly informative about the reasoning behind their trading strategies – e.g. if they draw implicitly or explicitly on assumptions from crowd psychology.
• Ethnographic observations: HFTs were observed while working at their desk.
• 6 weeks inside a small HFT prop shop close to Wall Street.• One-day visits to 4 other HFT trading firms in New York and New Jersey. • Designing and building black box market automata, supervising and monitoring
algorithms.• The establishment of back-office facilities necessary for HFT activity.
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Order types and HFT strategies
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Order book depth
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Conclusion
The questions a sociological analysis gives rise to:
1.How can we hold an algorithm accountable (when the rational and intentional subject is disappearing)?2.And how can we measure the effect of the interaction between algorithms on the financial markets?
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Thank You!
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