• Share
  • Email
  • Embed
  • Like
  • Save
  • Private Content
Seminar psu 21.10.2013   Empirical market microstructure
 

Seminar psu 21.10.2013 Empirical market microstructure

on

  • 445 views

 

Statistics

Views

Total Views
445
Views on SlideShare
445
Embed Views
0

Actions

Likes
0
Downloads
4
Comments
0

0 Embeds 0

No embeds

Accessibility

Upload Details

Uploaded via as Microsoft PowerPoint

Usage Rights

© All Rights Reserved

Report content

Flagged as inappropriate Flag as inappropriate
Flag as inappropriate

Select your reason for flagging this presentation as inappropriate.

Cancel
  • Full Name Full Name Comment goes here.
    Are you sure you want to
    Your message goes here
    Processing…
Post Comment
Edit your comment

    Seminar psu 21.10.2013   Empirical market microstructure Seminar psu 21.10.2013 Empirical market microstructure Presentation Transcript

    • 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
    • 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 Traders • Scalp Trading • Arbitrageurs • Technical analysis traders • Break-out Traders • Intuitive Traders • High Frequency Traders • News Traders
    • 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)
    • 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
    • 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.html)
    • High frequency trading activity modeling Источник: NANEX, LLC (http://www.nanex.net/Research/didnothappen/didnothappen.html)
    • 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” 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)
    • 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)