A Software Framework for a News Event Driven Simulation of Algorithmic Trading Strategies

نویسندگان

  • Andreas Storkenmaier
  • Marius B. Müller
  • Christof Weinhardt
چکیده

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Speed, algorithmic trading, and market quality around macroeconomic news announcements

This paper documents that speed is crucially important for high-frequency trading strategies based on U.S. macroeconomic news releases. Using order-level data on the highly liquid S&P 500 ETF traded on NASDAQ from January 6, 2009 to December 12, 2011, we find that a delay of 300 ms or more significantly reduces returns of news-based trading strategies. This reduction is greater for high impact ...

متن کامل

A Hierarchical Simulation Based Software Architecture For Back-Testing And Automated Trading

Financial markets are highly complex adaptive systems. This paper deals with the application of simulators in software architectures for back-testing and automating financial market trading strategies. It characterizes traits and problems of algorithmic trading and describes the established use of simulators in back-testing and automated trading. A new approach in the form of a hierarchical sof...

متن کامل

Specification and performance optimisation of real-time trading strategies for betting exchange platforms

Since their introduction in June 2000, betting exchanges have revolutionised the nature and practice of betting. Betting exchange markets share some similarities with financial markets in terms of their operation. However, in stark contrast to financial markets, there are very few quantitative analysis tools available to support the development of automated betting exchange trading strategies. ...

متن کامل

A Perspective on Promoter Ownership and Market Reaction to Corporate News: Evidence from India

C orporate governance structures in the wake of observed differences in firm ownership structures in developed markets and emerging market economies are distinct. In this paper, we examine the effect of an ownership structure of firms on the market reaction to corporate news flows in the context of emerging market economies like India. We observe the price and volume movements associ...

متن کامل

Enhancing Automated Trading Engines To Cope With News-Related Liquidity Shocks

Liquidity constitutes one of the main determinants of implicit transaction costs. Deriving optimal execution strategies that minimize transaction costs, automated trading engines need to forecast future liquidity levels. By means of an empirical study we provide evidence that the publication of regulatory corporate disclosures is followed by abnormal liquidity levels. As we do not find abnormal...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2010