Publication Details

Comparative Attributes of High-frequency Market Making Algorithms

SOPUCH, Z. Comparative Attributes of High-frequency Market Making Algorithms. Proceedings of the 19th Conference and Competition STUDENT EEICT 2013 Volume 3. Brno: Faculty of Information Technology BUT, 2013. p. 212-216. ISBN: 978-80-214-4695-3.

Czech title

Srovnávací atributy vysokofrekvenčních market making algoritmů

Type

conference paper

Language

English

Authors

Sopuch Zbyněk, Ing.

Keywords

market making, high-frequency, financial market, comparison of algorithms, bid and ask liquidity

Abstract

Comparison and evaluation of existing high-frequency market making algorithms which provide continuous bid and ask liquidity in financial markets is very difficult, because algorithm effects directly influence behaviour of trader and that influences back the behaviour of algorithm (a chicken-egg problem). The paper presents representative sample of algorithms, focuses on their differences and proposes a set of areas which are important for comparison due to market specifics.

Published

2013

Pages

212–216

Proceedings

Proceedings of the 19th Conference and Competition STUDENT EEICT 2013 Volume 3

ISBN

978-80-214-4695-3

Publisher

Faculty of Information Technology BUT

Place

Brno

BibTeX

@inproceedings{BUT103470,
  author="Zbyněk {Sopuch}",
  title="Comparative Attributes of High-frequency Market Making Algorithms",
  booktitle="Proceedings of the 19th Conference and Competition STUDENT EEICT 2013 Volume 3",
  year="2013",
  pages="212--216",
  publisher="Faculty of Information Technology BUT",
  address="Brno",
  isbn="978-80-214-4695-3"
}