Business & Information Systems Engineering

, Volume 4, Issue 2, pp 93–108 | Cite as

High Frequency Trading

Costs and Benefits in Securities Trading and its Necessity of Regulations
  • Christoph Lattemann
  • Peter Loos
  • Johannes Gomolka
  • Hans-Peter Burghof
  • Arne Breuer
  • Peter Gomber
  • Michael Krogmann
  • Joachim Nagel
  • Rainer Riess
  • Ryan Riordan
  • Rafael Zajonz
Discussion

Keywords

Market Participant Trading Strategy Order Book Price Error Market Quality 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

References

To: Section 1

  1. Aldridge I (2009) High-frequency trading. A practical guide to algorithmic strategies. Wiley, Hoboken Google Scholar
  2. Brogaard JA (2010) High frequency trading and volatility. Working paper, Northwestern University, Chicago Google Scholar
  3. Dacorogna MM, Gencay R, Müller U, Olsen RB, Pictet OV (2001) An introduction to high-frequency finance. Academic Press, San Diego Google Scholar
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  6. Gomolka J (2011) Algorithmic Trading: Analyse von computergesteuerten Prozessen im Wertpapierhandel unter Verwendung der Multifaktorenregression. Dissertation, Potsdam, Universitätsverlag Potsdam Google Scholar
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To: Section 2

  1. European Commission (2010) European Commission directorate general internal market and services. Public consultation: review of the markets in financial instruments directive (MiFID). http://ec.europa.eu/internal_market/consultations/docs/2010/mifid/consultation_paper_en.pdf. Accessed 2011-01-19
  2. Gomber P, Arndt B, Lutat M, Uhle T (2011) High frequency trading. Working paper, Universität Frankfurt Google Scholar
  3. Kirilenko A, Kyle A, Samadi M, Tuzun T (2011) The flash crash: the impact of high frequency trading on an electronic market. Working paper Google Scholar

To: Section 3

  1. Brogaard JA (2010) High frequency trading and volatility. Working paper, Northwestern University, Chicago Google Scholar
  2. Forbes (2010) Wall Street’s speed war. 2010-09-27 Google Scholar
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  4. Hendershott T, Riordan R (2011) High frequency trading and price discovery. Working paper, University of California (Berkeley), Karlsruhe Institute of Technology Google Scholar
  5. Securities and Exchange Commission (SEC) (2010) Concept release on equity market structure. Release No. 34-61358, File No. S7-02-10 Google Scholar
  6. Zhang S, Riordan R (2011) Technology and market quality: the case of high frequency trading. In: Proc ECIS 2011 Google Scholar

To: Section 4

  1. Deutsche Börse AG (2011) Several internal papers and statistics. August 2011, Eschborn Google Scholar
  2. Brogaard JA (2010) High frequency trading and volatility. Working paper, Northwestern University, Chicago Google Scholar
  3. AFM/Netherlands Authority for the Financial Markets (2010) High frequency trading – the application of advanced trading technology in the European marketplace Google Scholar
  4. SEC and CFTC (2010) Findings regarding the market events of May 6, 2010 Google Scholar
  5. Zhang S, Riordan R (2011) Technology and market quality: the case of high frequency trading. In: Proc ECIS 2011 Google Scholar

To: Section 5

  1. Biais B, Foucault T, Moinas S (2010) Equilibrium algorithmic trading. Working paper, Toulouse School of Economics Google Scholar
  2. Breuer A, Burghof H-P (2011) An empirical analysis of order dynamics in a high-frequency trading environment. Unpublished working paper, Universität Hohenheim Google Scholar
  3. Cvitanic J, Kirilenko A (2010) High frequency traders and asset prices. Unpublished working paper, CFTC Google Scholar
  4. Deutsche Börse (2009) Price list for the utilization of the trading system of FWB Frankfurt Stock Exchange. Deutsche Börse AG Google Scholar
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To: Section 6

  1. McEachern Gibbs C (2009) HFT is market making evolved, says NYSE exec. http://www.advancedtrading.com/managingthedesk/219501268. Accessed 2012-01-30
  2. Gomber P, Arndt B, Lutat M, Uhle T (2011) High frequency trading. Working paper, Universität Frankfurt Google Scholar
  3. Brogaard JA (2010) High frequency trading and volatility. Working paper, Northwestern University, Chicago Google Scholar
  4. NANEX (2010) Analysis of the “flash crash”. http://www.nanex.net/20100506/FlashCrashAnalysis_CompleteText.html. Accessed 2012-01-30
  5. European Commission (2010) European Commission directorate general internal market and services. Public consultation: review of the markets in financial instruments directive (MiFID). http://ec.europa.eu/internal_market/consultations/docs/2010/mifid/consultation_paper_en.pdf. Accessed 2011-01-19
  6. Kirilenko A, Kyle A, Samadi M, Tuzun T (2011) The flash crash: the impact of high frequency trading on an electronic market. Working paper Google Scholar

Copyright information

© Gabler Verlag 2012

Authors and Affiliations

  • Christoph Lattemann
    • 1
  • Peter Loos
    • 2
  • Johannes Gomolka
    • 3
  • Hans-Peter Burghof
  • Arne Breuer
  • Peter Gomber
  • Michael Krogmann
  • Joachim Nagel
  • Rainer Riess
  • Ryan Riordan
  • Rafael Zajonz
  1. 1.School of Humanities and Social SciencesJacobs University BremenBremenGermany
  2. 2.IWi at DFKISaarland UniversitySaarbrückenGermany
  3. 3.Tempelhove ResearchBerlinGermany

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