언제봐도 이 블로그에선 배울게 많네요.
링크한 자료의 결론 (마지막 페이지)의 내용은 다음과 같습니다.
<Conclusions>
•Over 50% of all trades in the US equity markets are algorithmic. Algorithmic execution of block trades is an important tool allowing for systematic and disciplined execution of size.
•The main idea is to split large orders into smaller ones according to available marketliquidity, generally following volume (TWAP, VWAP, PoV).
•Algorithmic trading is essential to implement quant strategies such as stat arb andETF arb.
•With DMA and low-latency trading, we see the emergence of autonomous market-makers.
•HFT traders provide volume but not necessarily liquidity when needed. Neitherdo the autonomous MMs (flash crash). Can we detect ``good liquidity’’ ?
•Regulation on HFT and electronic market-making is being drafted and implemented as wespeak. Recently,stub quotes were forbidden by the SEC. Other measures to regulate HFtrading will follow.
•Algorithmic trading, DMA, autonomous market-making and HFT are here to stay and arerapidly expanding to new markets in Asia and Latin America.
링크한 자료의 결론 (마지막 페이지)의 내용은 다음과 같습니다.
<Conclusions>
•Over 50% of all trades in the US equity markets are algorithmic. Algorithmic execution of block trades is an important tool allowing for systematic and disciplined execution of size.
•The main idea is to split large orders into smaller ones according to available marketliquidity, generally following volume (TWAP, VWAP, PoV).
•Algorithmic trading is essential to implement quant strategies such as stat arb andETF arb.
•With DMA and low-latency trading, we see the emergence of autonomous market-makers.
•HFT traders provide volume but not necessarily liquidity when needed. Neitherdo the autonomous MMs (flash crash). Can we detect ``good liquidity’’ ?
•Regulation on HFT and electronic market-making is being drafted and implemented as wespeak. Recently,stub quotes were forbidden by the SEC. Other measures to regulate HFtrading will follow.
•Algorithmic trading, DMA, autonomous market-making and HFT are here to stay and arerapidly expanding to new markets in Asia and Latin America.
거래횟수와 비용이 지금처럼 정비례하면 HFT는 거의 불가능. 가령 횟수가 늘때 비용을 조금씩이라도 줄면 시도해 볼만한....