Empirical market microstructure
High frequency trading activity modeling
Zero intelligent agent based models

Perm State N...
Empirical market microstructure
Empirical market microstructure
Empirical market microstructure
Empirical market microstructure
Empirical market microstructure

The car is moving or standing ?
Empirical market microstructure

The car is moving or standing ?
Empirical market microstructure

The car is moving or standing ?
Empirical market microstructure

The car is moving or standing ?

?
Empirical market microstructure
Empirical market microstructure

Types of orders
Market orders

Limit orders
Empirical market microstructure
Empirical market microstructure
Empirical market microstructure
Empirical market microstructure

15

Long memory in order flow

*

*
Empirical market microstructure

Diagonal effect [Biais et al (1995)]
Empirical market microstructure

Types of agent in financial markets:
• Fundamental Traders
• Buy and Hold Traders
• Swing...
High frequency trading activity modeling

HFTs create exponential
growth of data in
financial markets

Number of orders (l...
High frequency trading activity modeling

What is HFT?

Extraordinarily high-speed and sophisticated computer programs
Hig...
High frequency trading activity modeling
High frequency trading activity modeling

Delay in quotes in USA market
Source: NANEX, LLC (http://www.nanex.net/aqck/2613...
High frequency trading activity modeling

Источник: NANEX, LLC (http://www.nanex.net/Research/didnothappen/didnothappen.ht...
High frequency trading activity modeling

Источник: NANEX, LLC (http://www.nanex.net/aqck/2715.html)
High frequency trading activity modeling
Zero intelligent agent based models

Zero intelligent agent based models
We don’t know what “intelligence” or
“rationality...
Estimation of parameters
Estimation of spread
Zero intelligent agent based models

Simulation results

Daniels model
Zero intelligent agent based models

Simulation results (Daniels model)
Zero intelligent agent based models

Mike-Farmer model (2008)
Zero intelligent agent based models

Simulation results (Mike-Farmer model)
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Seminar psu 21.10.2013 Empirical market microstructure

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Seminar psu 21.10.2013 Empirical market microstructure

  1. 1. Empirical market microstructure High frequency trading activity modeling Zero intelligent agent based models Perm State National Research University Perm R group r-group.mifit.ru ITE.LAB “MathEconomics” Open Course Russia, Perm, 21 November 2013 Arbuzov V. arbuzov@prognoz.ru
  2. 2. Empirical market microstructure
  3. 3. Empirical market microstructure
  4. 4. Empirical market microstructure
  5. 5. Empirical market microstructure
  6. 6. Empirical market microstructure The car is moving or standing ?
  7. 7. Empirical market microstructure The car is moving or standing ?
  8. 8. Empirical market microstructure The car is moving or standing ?
  9. 9. Empirical market microstructure The car is moving or standing ? ?
  10. 10. Empirical market microstructure
  11. 11. Empirical market microstructure Types of orders Market orders Limit orders
  12. 12. Empirical market microstructure
  13. 13. Empirical market microstructure
  14. 14. Empirical market microstructure
  15. 15. Empirical market microstructure 15 Long memory in order flow * *
  16. 16. Empirical market microstructure Diagonal effect [Biais et al (1995)]
  17. 17. Empirical market microstructure Types of agent in financial markets: • Fundamental Traders • Buy and Hold Traders • Swing Traders • Scalp Trading • Arbitrageurs • Technical analysis traders • Break-out Traders • Intuitive Traders • High Frequency Traders • News Traders
  18. 18. High frequency trading activity modeling HFTs create exponential growth of data in financial markets Number of orders (left) and number of trades (right) from 2008 (violet) to 2012 (red color) on USA exchenges Source: NANEX, LLC (http://www.nanex.net/aqck/2817.HTML)
  19. 19. High frequency trading activity modeling What is HFT? Extraordinarily high-speed and sophisticated computer programs High message traffic Low latency Near-flat end-of-day net positions Short time frame for trading for establishing and liquidating positions Proprietary trading http://www.youtube.com/watch?v=GbGJsMJSWWk
  20. 20. High frequency trading activity modeling
  21. 21. High frequency trading activity modeling Delay in quotes in USA market Source: NANEX, LLC (http://www.nanex.net/aqck/2613.html)
  22. 22. High frequency trading activity modeling Источник: NANEX, LLC (http://www.nanex.net/Research/didnothappen/didnothappen.html)
  23. 23. High frequency trading activity modeling Источник: NANEX, LLC (http://www.nanex.net/aqck/2715.html)
  24. 24. High frequency trading activity modeling
  25. 25. Zero intelligent agent based models Zero intelligent agent based models We don’t know what “intelligence” or “rationality” are; but we do know how to exclude them ZI modeling can be a foundation to which more formal models of learning are added… Daniels model (2003)
  26. 26. Estimation of parameters
  27. 27. Estimation of spread
  28. 28. Zero intelligent agent based models Simulation results Daniels model
  29. 29. Zero intelligent agent based models Simulation results (Daniels model)
  30. 30. Zero intelligent agent based models Mike-Farmer model (2008)
  31. 31. Zero intelligent agent based models Simulation results (Mike-Farmer model)
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