Publication Details

Comparative Attributes of High-frequency Market Making Algorithms

SOPUCH Zbyněk. Comparative Attributes of High-frequency Market Making Algorithms. In: Proceedings of the 19th Conference and Competition STUDENT EEICT 2013 Volume 3. Brno: Faculty of Information Technology BUT, 2013, pp. 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. (DIFS FIT BUT)
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
Conference
Student EEICT 2013, Brno, CZ
ISBN
978-80-214-4695-3
Publisher
Faculty of Information Technology BUT
Place
Brno, CZ
BibTeX 
@INPROCEEDINGS{FITPUB10280,
   author = "Zbyn\v{e}k Sopuch",
   title = "Comparative Attributes of High-frequency Market Making Algorithms",
   pages = "212--216",
   booktitle = "Proceedings of the 19th Conference and Competition STUDENT EEICT 2013 Volume 3",
   year = 2013,
   location = "Brno, CZ",
   publisher = "Faculty of Information Technology BUT",
   ISBN = "978-80-214-4695-3",
   language = "english",
   url = "https://www.fit.vut.cz/research/publication/10280"
}
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