Abstract: Market monitoring is a very important process to the stock market. It is necessary in order to verify that all trades comply with the existing rules, as well as to detect any act of manipulation. Recently, a new kind of trading has emerged, High Frequency Trading, which allows traders to place and execute orders within milliseconds via a program running in a computer. It is doubtful whether existent market systems are capable of detecting inconsistencies in trades at this speed. This...

Over the past 10 years, trading in the U.S. securities markets has dramatically changed from primarily manual trading to almost predominately computer-based trading. New regulations – such as Regulation ATS, decimalization requirements and Regulation NMS – fostered comprehensive computer linkages among trading venues and concomitant upgrades to market participants’ trading systems.  Technological advances – such as high speed computing and co-located servers,...

The eagle-eyed among you will have noticed some changes we've recently made to the "Activity Stream" on the HFT Review website at http://www.hftreview.com/pg/activity/read more...

At the Asian Finance Association Conference in Macao SAR, China, Dr. Maureen O’Hara, an expert in market microstructure and trading, discusses high-frequency markets, algorithmic trading, flow toxicity, and differential access to price information in Asia, as well as the flash crash and market fragmentation. This episode of the Take 15 Series was originally released on 29 September 2011. Watch the Video

On Dec. 12, the FIA Principal Traders Group submitted a letter to the Commodity Futures Trading Commission in response to a request for comment on a proposed seven-part definition of high-frequency trading that was issued by CFTC Commissioner Scott O’Malia on Nov. 14. In the letter, the FIA PTG agreed that the CFTC needs to understand the characteristics and behaviors of various types of market participants, but warned that the proposed definition would be too arbitrary to be useful. The...

This is the slide deck from the MiFID Forum Plenary Meeting held in London on 30th November 2011, including the following presentations: MiFID II OverviewChris Pickles, BT Global Banking & Financial Markets – Chair, MiFID Forum Real-time Market Data Subject GroupChair: Tom Davin,  Managing Director, SIIA/FISD – facilitated by David Anderson Transaction Reporting & Cross Jurisdiction Subject GroupChair: Alan Jenkins, Jenkins UK Ltd – nominated by ISITC...

Abstract: We develop a High Frequency (HF) trading strategy where the HF trader uses her superior speed to process information and to post limit sell and buy orders. We introduce a multi-factor self-exciting process which allows for feedback effects in market buy and sell orders and the shape of the limit order book (LOB). The model accounts for arrival of market orders that influence activity, trigger one-sided and two-sided clustering of trades, and induce temporary changes in the shape of...

The first part of a two-part interview with Professor Dave Cliffread more...