Algorithmic trading

About: Algorithmic trading is a research topic. Over the lifetime, 6718 publications have been published within this topic receiving 162209 citations. The topic is also known as: algotrading & Algorithmic trading.

Study Guide for Trading for a Living: Psychology, Trading Tactics, Money Management

Abstract: Partial table of contents: Trading----The Last Frontier. The Odds Against You. INDIVIDUAL PSYCHOLOGY. Fantasy Versus Reality. Self--Destructiveness. Trading Lessons from AA. Winners and Losers. MASS PSYCHOLOGY. What Is the Market?. The Market Crowd and You. Managing Versus Forecasting. CLASSICAL CHART ANALYSIS. Support and Resistance. Trendlines. Chart Patterns. COMPUTERIZED TECHNICAL ANALYSIS. Moving Averages. The Directional System. Williams %R. Relative Strength Index. THE NEGLECTED ESSENTIALS. Volume--Based Indicators. Herrick Payoff Index. STOCK MARKET INDICATORS. New High--New Low Index. PSYCHOLOGICAL INDICATORS. Consensus Indicators. NEW INDICATORS. Elder--Ray. TRADING SYSTEMS. Triple Screen Trading System. Channel Trading Systems. RISK MANAGEMENT. Money Management. Afterword. Sources. Index.

Market Power in Pollution Permit Markets

Abstract: As with other commodity markets, markets for trading pollution permits have not been immune to market power concerns. In this paper, I survey the existing literature on market power in permit trading but also contribute with some new results and ideas. I start the survey with Hahn's (1984) dominant-firm (static) model that I then extend to the case in which there are two or more strategic firms that may also strategically interact in the output market, to the case in which current permits can be stored for future use (as in most existing and proposed market designs), to the possibility of collusive behavior, and to the case in which permits are auctioned off instead of allocated for free to firms. I finish the paper with a review of empirical evidence on market power, if any, with particular attention to the U.S. sulfur market and the Southern California NOx market.(This abstract was borrowed from another version of this item.)

Overreaction of Country ETFs to US Market Returns: Intraday vs. Daily Horizons and the Role of Synchronized Trading

Abstract: In this paper we study the intraday price formation process of country Exchange Traded Funds (ETFs). We identify specific parts of the US trading day during which Net Asset Values (NAVs), currency rates, premiums and discounts, and the S&P 500 index have special effects on ETF prices, and characterize a special intraday and overnight updating structure between these variables and country ETF prices. Our findings suggest a structural difference between synchronized and non-synchronized trading hours. While during synchronized trading hours ETF prices are mostly driven by their NAV returns, during non-synchronized trading hours the S&P 500 index has a dominant effect. This effect also exceeds the one that the S&P 500 index has on the underlying foreign indices and suggests an overreaction to US market returns when foreign markets are closed.

Adaptive Arrival Price; ; Trading; Algorithmic Trading III. Precision control, execution

Abstract: Arrival price algorithms determine optimal trade schedules by balancing the market impact cost of rapid execution against the volatility risk of slow execution. In the standard formulation, mean variance optimal strategies are static: they do not modify the execution speed in response to price motions observed during trading. We show that with a more realistic formulation of the mean variance tradeoff, and even with no momentum or mean reversion in the price process, substantial improvements are possible for adaptive strategies that spend trading gains to reduce risk, by accelerating execution when the price moves in the trader's favor. The improvement is larger for large initial positions.