Technological innovations such as high frequency trading systems (HFT) and algorithmic trading systems have changed financial markets. We discuss technological and economic aspects of HFT and find that HFT have a major impact on all aspects of the internal market structure of exchanges. We use market quality measures on a unique dataset provided by NASDAQ in order to analyze the contribution of...

Algorithmic trading has becomes a huge proportion of the trades executed on securities exchanges around the world. Reduced transaction costs have faciliated a new generation of trading strategies which depend on computing and network speed. Algorithmic trading also poses a new set of risks and challenges regulators to keep up. This paper reviews the technology infrastructre supporting algorithm...

Automated trading systems on developed and emerging capital markets are studied in this paper. The standard for developed market is automated trading system with 40-days simple moving average. We tested it for the index SIX Industrial for 1000 and 730 trading days. The Buy and Hold trading system was 7.80 times more profitable than this etalon trading system for active trading. Simple taking of...

Algorithmic trading strategies are most often evaluated by running against historical data and observing the results. This limits the evaluation scenarios to situations similar to those for which historical data is available. In order to evaluate high frequency trading systems in a broader setting, a different approach is required. This paper presents an agent-based financial market simulator t...

We consider a Kyle (1985) one-period model where insider trading may be subject to penalty that is increasing in trade size. characterize the solution - equilibrium price and optimal strategy explicitly establish existence uniqueness for an arbitrary function case of uniformly distributed noise. use this framework capture difference between legal illegal trading, identify set ‘efficient functio...

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Reducing mismatch between HMMs trained with clean speech and speech signals corrupted with background noise can be approached by speech distribution adaptation using parallel model combination (PMC). Accurate PMC has no closed-form expression, therefore simplification assumptions must be made in implementation. Under three assumptions, i.e. log-normal, log-add and logmax, adaptation formula for...

the multilateral trading system as a sub-system of the present international system from its beginning as gatt in 1947, after scond world war, until now have been criticized by different countries. with the conversion of gatt into the wto in 1994, not only dissatisfaction of the countries with the performance of multilateral trading system have not gone away, but in many cases also have increas...

The Central Bank of Iran banned online currency trading through Forex brokers in November 2016. However, some Iranian speculators still trade in the online Forex market. Is this prohibition on Forex trading reasonable? According to reports, the majority of Forex day traders fail and leave the market within six months to a year. Some scholars attribute this failure to the changeable characterist...

We study endogenous liquidity trading in a market with long-lived asymmetric information. We distinguish between public information, tractable information that can be acquired and intractable information that cannot be acquired. Besides information asymmetry and noise, the adverse-selection spread depends on the diffusion of intractable information and on the interest rate. With endogenous liqu...