1.
Stevens Institute of Technology가 주최하는 행사입니다. 지난 4회 행사는 아래에서 소개하였습니다.
Modeling High Frequency Data in Finance Conference
2013년 10월에 열린 5회 행사의 자료가 나왔습니다.
Post Conference – Presentations
DAY 1: THURSDAY, October 24, 2013
Section: Market Microstructure and Order Book Dynamics
Alvaro Cartea, University College London, Robust Market Making
Robert Almgren, Quantitative Brokers and NYU, Market Simulator for Developing Execution Algorithms Presentation Link
Irene Aldrige, ABLE Alpha Trading, LTD. And Big Data Finance Institute, Market Microstructure and the Risks of High Frequency Trading
Presentation Link
Martin Šmíd, Institute of Information Theory and Automation of the ASCR, Czech Republic, Causal Model of Price and Inventory on a Market with a Market Maker Presentation Link
Other references: http://www.martinsmid.eu and http://www.utia.cz/people/smid
Alec Kercheval, Florida State University, Limit Order Book Forecasting with Support Vector Machines
Presentation Link. Link to the paper: http://www.math.fsu.edu/~kercheva/papers/
Igor Cialenco, Illinois Institute of Technology, On Bid-Ask prices for dividend paying securities
Ciamac Moallemi, Columbia University, The Value of Queueing in a Limit Order Book
Richard Liao, U.S. Securities and Exchange Commission, Regulation in high frequency trading and quantitative methods
Vladimir Markov, Liquidnet, Optimal execution of limit orders and market orders with stochastic liquidity constraints
Vladimir Filimonov, ETH Zürich, Switzerland, Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets Presentation File
Ciprian Tudor, Universite Lille and Universite de Pantheon-Sorbonne Paris 1, France, Modelling High Frequency Data by Hawkes Processes Presentation File. Joint work with Alexis Fauth http://samm.univ-paris1.fr/-Alexis-Fauth-Student Session
Xuefeng Gao, Georgia Institute of Technology, Hydrodynamic limit of order book dynamics
Deepan Palguna, Purdue University, Non-parametric Prediction in a Limit Order Book Presentation File
Nguyet Nguyen, Florida State University, Hidden Markov Model for High Frequency Data Presentation File
Jian Wang, Florida State University, Historical arbitrage opportunities study for US treasury futures Presentation File
Jonathan Chavez-Casillas, Purdue University, Long-run price dynamics under a level-1 LOB with memory and variable spread Presentation File
Patrick Houlihan, Stevens Institute of Technology, Leveraging a Call-Put ratio as a Trading SignalDAY 2: FRIDAY, October 25, 2013
Section: Volatility Estimates
Joseph Barunik, Charles University in Prague and Academy of Sciences of the Czech Republic, Asymmetric Volatility Spillovers: Revisiting the Diebold-Yilmaz (2009) Spillover Index with Realized Semivariance Presentation Link
Dobrislav Dobrev, Federal Reserve Board of Governors, Washington, DC, Duration-Based Volatility Estimation
Keynote talk: Per Mykland, University of Chicago, Estimating and Forecasting Volatilities using the Leverage Effect
Dacheng Xiu, University of Chicago, Model-Free Leverage Effect Estimators at High Frequency
Simona Sanfelici, University of Parma, Italy, Estimating Volatility of Volatility free from Spot Volatility Estimates Presentation Link
Yong Zeng, University of Missouri at Kansas City, Real-time Stochastic Volatility Estimation via Filtering Equation for a Partially-observed Heston Model Presentation Link
Sylvain Corlay, Bloomberg LP, Functional Quantization Techniques for Stochastic Volatility Presentation File, Video.Links:
– S. Corlay, J. Lebovits, J. Lévy-Véhel, Multifractional stochastic volatility models, Mathematical finance, http://hal.inria.fr/hal-00653150/en/– S. Corlay, Partial functional quantization and generalized bridges, Bernoulli Journal, http://hal.archives-ouvertes.fr/hal-00560275/en/– G. Pagès and H. Luschgy, Functional quantization of Gaussian processes, JFA, http://www.sciencedirect.com/science/article/pii/S0022123602000101– S. Corlay and G. Pagès, Functional quantization-based stratified sampling methods, Preprint, http://hal.archives-ouvertes.fr/hal-00464088/en/– S. Corlay, Properties of the Ornstein-Uhlenbeck bridge, Preprint, http://hal.archives-ouvertes.fr/hal-00875342/en/– S. Corlay, G. Pagès and J. Printems. The optimal quantization website, http://www.quantize.maths-fi.comSection: Execution Strategies for HFT
Patrick Cheridito, Princeton University, Optimal Execution under Stochastic Volatility and Liquidity
Qihang Lin, University of Iowa, Optimal Trade Execution with Coherent Dynamic Risk Measures Presentation Link. Link to paper: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2150878
Xin Guo, University of California Berkeley, Optimal Placement in a Limit Order Book Presentation Link
Sebastian Jaimungal, University of Toronto, Canada, Algorithmic Trading with Learning: Informed versus Uninformed
Costis Maglaras, Columbia University, A Limit Order Queue Model with Heterogeneous Traders
Julian Manzano, SC AG, Switzerland, Necessary ingredients for a successful trading strategy Presentation Link
Olympia Hadjiliadis, C.U.N.Y, Trends and Trades
Shinan Cao, University of International Business and Economics, China, A wavelet model for dynamic VWAP approach
Khaldoun Khashanah, Stevens Institute of Technology, ACTUS and systemic risk modelingStudent Session
Yuxiao (Shawn) Ning, Cornell University, Small-World Network in Stock Cointegration
Zhang Li, Purdue University, A Distributed Algorithm for Systemic Risk Mitigation in Financial System
Timothy Lewkow, Florida State University, A Market Microstructure Model of Volatility using an Earth Mover’s Distance Presentation File
Imma Valentina Curato, University of Pisa, Fourier Estimation of Stochastic Leverage using High Frequency Data Presentation File
Kristina Krsteva, Stevens Institute of Technology, Portfolio Optimization under Regime-Switching Multi Factor ModelsDAY 3: Saturday, October 26, 2013
Section: News and HFT
Eleni Gousgounis, Stevens Institute of Technology, The Role of Market Sentiment in Foreign Exchange Markets
Suzy Moat, University of Warwick, UK, Can Online Data Anticipate Stock Market Moves?
Tobias Preis, University of Warwick, Digital Traces of the Human in the Loop — How Can We Predict Financial Markets Using Big Data?
Germán Creamer, Stevens Institute of Technology, Sentiment Analysis of the European equity market with a Hybrid Expert Weighting Algorithm
Keynote talk: Charles Jones, Columbia University,The Causal Effects of High-Frequency TradingSection: HFT impact
Dror Kenett, Boston University, How High Frequency Trading Affects a Market Index
Lukas Vacha, Charles University and Academy of Sciences, Czech Republic, Gold, Oil, and Stocks
Takaki Hayashi, Keio University, Japan, Which Market Moves Faster?: Lead-lag Analysis for Japanese Stock Market
Gordon H. Dash, Jr. University of Rhode Island, Supervised Learning Networks to fit the daily and near-High Frequency US municipal Bond Term structure
Ambar Sengupta, Louisiana State University, Gaussian Inequalities and Tranche Sensitivities Presentation Link
Darinka Dentcheva, Stevens Institute of Technology, Portfolio Optimization with Risk Control by Stochastic Order Constraints
Bo Zhang, IBM T.J. Watson Research Center, Efficient Monte Carlo Counterparty Credit Risk and Measurement. Link to related paper: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2327562
Petter Kolm & Gordon Ritter, NYU, Multi-period Portfolio Choice and Bayesian Dynamic Models
Kiseop Lee, University of Louisville, Discrete Time Hedging with Liquidity Risk
Alexandra Chronopoulou, C.U.N.Y, Long Memory Stochastic Volatility model: Leverage Effects & Hedging
Indranil Sengupta, North Dakota State University, Generalized Barndorff-Nielsen and Shephard Model and Volatility Smile
Maria Pia Beccar Varela, University of Texas at El Paso, Analysis of Generic Diversity Data, Financial Data and High Frequency Financial Data
Alexander Shklyarevsky, Bank of America, PDE, PIDE and other dynamic models for data sampled with High FrequencyStudent Session
Francis Biney, University of Texas El Paso, Study of Volatility Structures and Memory Effects in Geophysics and Finance
Bo Yi, Sun Yat-sen University China and Purdue University US, Dynamic Portfolio selection with mispricing and model ambiguity
2.
SIFMA가 2013년 4월 HFT와 관련한 논문 색인을 발표하였습니다. 2010년이후 나온 HFT와 관련한 대부분의 논문을 정리해놓고 있습니다.
High Frequency Trading: Post-Flash Crash Studies Matrix
고빈도매매 인포그래픽스에서도 소개하였던 R.T. Leuchtkafer’s bibliography 2013년 12월 자료입니다.
High Frequency Trading and Predatory Market Making: Bibliography of Evidence-Based Research
호주의 Capital Markets CRC가 HFT를 연구한 자료를 발표하였습니다.
