Reading by O'Hara

[Aenny]

Hi David,
as so far no items are shown in the study section for the Current Issues Readings i searched the readings by myself on the internet. I found nearly every paper GARP refers to. But unfortunately I was not able to find the paper of O'Hara High Frequency Trading and Its Impact on Markets.
I know you just getting through the changes step by step.
I wanted to ask if you could help by finding a source ?

*resolved but I am not able to delete that thread - maybe you could do this for me David? *

thanks

 

[ShaktiRathore]

Please refer to this,
http://www.google.com/url?sa=t&sour...SsoIE4&usg=AFQjCNEhQrEWG7MBWztHDQERmz05xaa9Bw
Thanks

 

[E16mark]

I'm not sure the link above is citing the right article? The one from the syllabus is "High-frequency trading and its impact on markets" and the one above is "High Frequency Market Microstructure"?

 

[Aenny]

I tried to summarize the reading - Maybe it is helpful for others - feel free to extend/correct/..

• 25% - 50% of trade volume done by HFT (high frequency trading) [trading systrems ^= computers] vs. low-frequency trading [humans]
• machines think in cycles (amount of volume) vs humans think in time
• spreads are small; HFT move liquidity between markets; can be triggered by their own actions
• (predatory) illegal actions: - quote danglers: obfuscating quote process by enter & instantaneously cancel limit orders - pack hunters: force stop loss by moving quote up and down to find hidden stop orders - quote stuffers: overwhelm exchange with messages with intent to slowing down competing algorithms
• HTF look for level III quotes; use natural language programming (NLP); develop market sentiment indices
• PIN models (probability of informed trading): estimate probability of informed trades (CDF); difficult to implent by hude trade volume and high frequency
• VPIN (volume synchronized probability of informed trading): - measure of market's "Toxicity" - using a volume clock; works by capturing imbalance between buy-initiated volume and sell-initiated volume over volume increments
• high frequency makets habe different risk; need of smart brokers (trading immediately ^= high liquidity costs but low timing costs and vice versa)

 

[tosuhn]

Hi hi @Aenny, thanks so much for the summary
You mind sharing the link for other readings as well?
Regards,
Sun

 

[Aenny]

Hi @tosuhn,
I found all the other readings by copying the titles into the google search engine

 

[[email protected]]

On the reading titled 'HIGH-FREQUENCY TRADING & ITS IMPACT ON THE MARKET' BY MAUREEN O'HARA, I was able to download the exact article using the following link:-
http://info.freeman.tulane.edu/breese654/FINE 7170/High Frequency Trading O'Hara FAJ article.pdf

 

[tosuhn]

Hi all, actually I found all the reading materials under the Current Issue section under the GARP website.
Let me know if you can't find it. I can email to you the PDFs.

 

[Abhishek...]

Hi @tosuhn could you please guide me to the link from where I can download the Current Issue readings, the new website is giving me some issues.... thanks in advance.

 

[tosuhn]

hi @Abhishek... i downloaded the files before GARP upgrade to the new website..

 

[Abhishek...]

hi @Abhishek... i downloaded the files before GARP upgrade to the new website..

thanks i found it at http://www.garp.org/#!/frm_readings...tXWKwfnEz3gkqvv3h0XyVQKGchXf8cVvroaAi4u8P8HAQ