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The Future of Computer Trading in Financial Markets - Supplementary Materials, Research and Reviews

Mon, 26 Sep 2011 07:08:00 GMT

This is the collection of review papers and commentary which the UK Government Office for Science, Foresight Project commissioned, reviewed and condensed for the recently released report: The Future of Computer Trading in Financial Markets which you can download HERE.

Thanks to Professor Dave Cliff,  Director of the UK Research and Training Initiative in the Science and Engineering of Large-Scale Complex IT Systems (LSCITS) for the heads-up.

What has happened to UK equity market quality in the last decade? An analysis of the daily data
Professor Oliver Linton
This paper Investigates the properties of the UK equity market over the last decade with a view to establishing trends or otherwise in market quality.

High frequency trading, information, and profits
Jonathan A. Brogaard

This paper outlines the different types of short term information used by high frequency traders (HFTrs) and discusses the various sources of their profits.

Impersonal efficiency and the dangers of a fully automated securities exchange
Daniel Beunza, Donald MacKenzie, Yuval Millo and Juan Pablo Pardo-Guerra
This paper identifies impersonal efficiency as a driver of market automation during the past four decades, and speculates about the future problems it might pose.

High-frequency trading and price efficiency
Terrence Hendershott
Focuses on how greater investment in computing and communications technologies impact high-frequency trading (HFT) and price efficiency.

Studies of interactions between human traders and algorithmic trading systems
Marco De Luca, Charlotte Szostek, John Cartlidge, Dave Cliff
This paper reviews the small amount of published literature that describe scientific studies of interactions between human and robot traders under experimental conditions.

Prospects for large-scale financial systems simulation
Seth Bullock
Considers the application of simulation methodologies to financial systems, assessing the prospects for continued progress in this line of research.

Impact of special relativity on securities regulation
James J. Angel
Now that markets respond in computer-scale time, the paper examines what this speed means for our financial markets.

Electronic trading and market structure
Albert J. Menkveld
Examines automated trading and the changes this has effected in the structure of the securities trading industry.

Feedback effects and changes in the diversity of trading strategies
Jean-Pierre Zigrand
Outlines some of the risk drivers from feedback loops in computer-based environments.

Technology trends in the financial markets: a 2020 vision
Dave Cliff, Dan Brown, Philip Treleaven
Establishes the historical context for technology adoption in the financial markets, reviews current technology trends, and then extrapolates them out by five to ten years, in an attempt to identify what the financial-markets technology landscape might reasonably look like in 2020 or 2022.

The global financial markets: an ultra-large-scale systems perspective
Dave Cliff, Linda Northrop
Argues that, in recent years, the global financial markets have become a complex adaptive ultra-large-scale socio-technical system-of-systems, and that this has important consequences for how the financial markets should be engineered and managed in future.

Computer based trading, liquidity and trading costs
Sylvain Friederich and Richard Payne
Aims to supply evidence on the effect that the development of computer-based Trading (CBT) has had on broad measures of activity and liquidity in the UK equity market.

An ecological perspective on the future of computer trading
J. Doyne Farmer and Spyros Skouras
An ecological microstructure perspective of financial markets is used to consider the impact of computer trading on the fairness, competitiveness and stability of markets now and in the future.

Crashes and high frequency trading: An evaluation of risks posed by high-speed algorithmic trading (pdf)
D. Sornette and S. von der Becke
Presents a partial review of the potential for bubbles and crashes associated with high frequency trading.

Automated analysis of news to compute market sentiment: its impact on liquidity and trading
Gautam Mitra, Dan diBartolomeo, Ashok Banerjee, Xiang Yu
Focuses on (i) automated trading and (ii) financial markets, and brings into perspective (iii) automated analysis of news to compute market sentiment, and (iv) how market sentiment impacts liquidity and trading.

Leverage, forced asset sales, and market stability: lessons from past market crises and the flash crash
Hayne E. Leland
Considers sources of forced selling and the role of leverage; historical examples where forced selling has played a major role in market crashes; market liquidity, information, and crashes; high frequency traders (HFTs) and market liquidity; and the formal model on the impact of HFTs on market liquidity and volatility.

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