This letter is submitted in response to the request of the Securities and Exchange Commission (the "Commission" or "SEC") for comments on the Concept Release on Equity Market Structure (the "Concept Release,,).l The undersigned firms engage, or have affiliates that engage, in automated trading on a proprietary basis and are interested in the inquiry being conducted by the Commission with respec...

The Building Blocks of Successful Regional Integration: Lessons for the CSME from other regional integration schemes. By Rachel Simms, LL.M, 2006 University of Toronto And Errol Simms, Senior Lecturer, Department of Management Studies, Faculty of Social Sciences, U.W.I., St. Augustine. Regional Trading Blocs (RTBs) have become quite ubiquitous, with approximately 200 of them presently operating...

Information systems can serve as intermediaries between the buyers and the sellers in a market, creating an “electronic marketplace” that lowers the buyers’ cost to acquire information about sellers’ prices and product offerings. Although electronic trading systems provide potential to create an effi cient market structure, we witness that a $45 trillion fi xed-income market still makes little ...

We examine the impact of algorithmic trading (AT) in equities on the comovement of order flow, returns, liquidity, and volatility to assess how AT affects the market’s susceptibility to systemic shocks. Using order-level data around a natural experiment at the National Stock Exchange of India, which in 2010 has introduced features that promote HFT, we find that more intense AT reduces commonali...

the more frequently occurring security incidents, suggesting that more security is required for detecting and preventing unauthorised financial transactions entered by authorised users. To address the problem, and based on the observation that all authorised interbanking financial transactions trigger or are triggered by other transactions in a workflow, we have developed a security solution ba...

Automated trading systems for financial markets can use data mining techniques for future price movement prediction. However, classifier accuracy is only one important component in such a system: the other is a decision procedure utilizing the prediction in order to be long, short or out of the market. In this paper, we investigate the use of technical indicators as a means of deciding when to ...

In the present work we address the problem of evaluating the historical performance of a trading strategy or a certain portfolio of assets. Common indicators such as the Sharpe ratio and the risk adjusted return have significant drawbacks. In particular, they are global indices, that is they do not preserve any local information about the performance dynamics either in time or for a particular ...

This work’s main purpose is to understand the price dynamics in a generic limit order market, and illustrate a dynamical trading mechanism that can be applied to explore its market microstructure. First and foremost, we capture the iterative nature of the limit order market, and quantitatively identify its capacities as a means to develop switching schemes for the appearances of different sorts...

This study investigates the algorithm of effective option trading strategy based on the superior volatility forecasts using actual option price data in Taiwan stock market. Forecast evaluation supports the significant incremental explanatory power of investor sentiments on the fitting and forecasting of future volatility to its adversarial multiple-factor model, especially the market turnover a...

This paper provides an empirical description of the relationship between the trading system operated by a stock exchange and the transaction costs faced by heterogeneous investors who use the exchange. The recent introduction of SETS in the London Stock Exchange provides an excellent opportunity to study the impact of an electronic trading system upon transaction costs and the time taken to car...