Mathematical finance

High-frequency trading

High-frequency trading (HFT) is a type of algorithmic financial trading characterized by high speeds, high turnover rates, and high order-to-trade ratios that leverages high-frequency financial data and electronic trading tools. While there is no single definition of HFT, among its key attributes are highly sophisticated algorithms, co-location, and very short-term investment horizons. HFT can be viewed as a primary form of algorithmic trading in finance. Specifically, it is the use of sophisticated technological tools and computer algorithms to rapidly trade securities. HFT uses proprietary trading strategies carried out by computers to move in and out of positions in seconds or fractions of a second. In 2017, Aldridge and Krawciw estimated that in 2016 HFT on average initiated 10–40% of trading volume in equities, and 10–15% of volume in foreign exchange and commodities. Intraday, however, the proportion of HFT may vary from 0% to 100% of short-term trading volume. Previous estimates reporting that HFT accounted for 60–73% of all US equity trading volume, with that number falling to approximately 50% in 2012 were highly inaccurate speculative guesses. High-frequency traders move in and out of short-term positions at high volumes and high speeds aiming to capture sometimes a fraction of a cent in profit on every trade. HFT firms do not consume significant amounts of capital, accumulate positions or hold their portfolios overnight. As a result, HFT has a potential Sharpe ratio (a measure of reward to risk) tens of times higher than traditional buy-and-hold strategies. High-frequency traders typically compete against other HFTs, rather than long-term investors. HFT firms make up the low margins with incredibly high volumes of trades, frequently numbering in the millions. A substantial body of research argues that HFT and electronic trading pose new types of challenges to the financial system. Algorithmic and high-frequency traders were both found to have contributed to volatility in the Flash Crash of May 6, 2010, when high-frequency liquidity providers rapidly withdrew from the market. Several European countries have proposed curtailing or banning HFT due to concerns about volatility. (Wikipedia).

Video thumbnail

How Does High-Frequency Trading Affect Low-Frequency Trading?

For the latest information, please visit: http://www.wolfram.com Speaker: Kun Li Compared with traditional market makers, high-frequency trading has a larger impact on low-frequency liquidity and order-execution quality. This talk examines how high-frequency trading affects low-frequency

From playlist Wolfram Technology Conference 2014

Video thumbnail

Long Call Options Trading Strategy

This video provides a basic introduction into the long call options trading strategy. This strategy has limited risk but an unlimited profit potential. The intrinsic value of the call option increases if the share price of the stock goes up. The extrinsic value of the call option decrea

From playlist Stocks and Bonds

Video thumbnail

Correlation For Traders and Investors | Statistics For the Trading Floor | Correlation Trading

Correlation For Traders and Investors Today we will be discussing what correlation is and why it matters to traders and investors. We will learn why stock market correlation is so high right now and why investors might care. Watch to the end of the video to learn how traders can profit fr

From playlist Statistics For Traders

Video thumbnail

RedDotRuby 2014 - Lightning Talk - Algorithmic Trading for Fun and Profit by Sheng Loong Su

From an engineer's perspective, algorithmic (or quantitative/systematic) trading is about developing a trading system that applies mathematical and computer models for making transaction decisions in the financial markets. This talk will explore the algorithmic trading process and how we c

From playlist RedDotRuby 2014

Video thumbnail

Trading Book for Beginners: "High Probability Trading by Marcel Link"

If you are trade stocks, futures, or options or are new to trading then this is a solid book to read. The book is called "High Probability Trading" and it is written by Marcel Link. This is the book on amazon: https://amzn.to/2Z95pZY (This is my affiliate link so if you use this link then

From playlist Cool Math Stuff

Video thumbnail

Uptick rule explained | Trading concept to know

We've already talked about upticks and downticks. These concepts are universal and we have demonstrated them through GDAX. What I want to talk about in this video is regarding a technical piece of regulation that applies to stocks. Even though this topic doesn't directly apply to GDAX at t

From playlist Trading - Advanced Order Types with Coinbase

Video thumbnail

Long Put Options Trading Strategy

This video provides a basic introduction into the long put option trading strategy. This strategy has limited risk and an unlimited profit potential. The intrinsic value of the put option increases if the price of the stock declines. The extrinsic value of the put option decreases due t

From playlist Stocks and Bonds

Video thumbnail

What are Dividend Swaps, commodity swaps, equity swaps?

In todays video we will learn about Dividend Swaps, Commodity Swaps and Equity Swaps. These classes are all based on the book Trading and Pricing Financial Derivatives, available on Amazon at this link. https://amzn.to/2WIoAL0 Check out our website http://www.onfinance.org/ Follow Patri

From playlist Swaps

Video thumbnail

Robinhood is Being Investigated for Fraud by the SEC. Here's Why.

Robinhood Markets Incorporated is facing a civil fraud investigation over its early failure to fully disclose its practice of selling clients’ orders to high-speed trading firms, according to the Wall Street Journal. The investigation is apparently at an advanced stage and the company cou

From playlist What is Happening In The Market?

Video thumbnail

Comment Responses: How Does the Shape of Money Shape Life?

Viewers like you help make PBS (Thank you 😃) . Support your local PBS Member Station here: https://to.pbs.org/donateidea Comment Responses! Tweet us! http://bit.ly/pbsideachanneltwitter Idea Channel Facebook! http://bit.ly/pbsideachannelfacebook Talk about this episode on reddit! http://

From playlist Comment Responses!

Video thumbnail

Stanford Seminar - Multiscale Dataflow Computing

"Mutliscale Dataflow Computing: The Vertical Perspecitve" - Oskar Mencer & Stephen Weston of Maxeler Technologies Colloquium on Computer Systems Seminar Series (E380) presents the current research in design, implementation, analysis, and use of computer systems. Topics range from integrat

From playlist Engineering

Video thumbnail

Class 9: Trading & Capital Markets

MIT 15.S08 FinTech: Shaping the Financial World, Spring 2020 Instructor: Prof. Gary Gensler View the complete course: https://ocw.mit.edu/15-S08S20 YouTube Playlist: https://www.youtube.com/playlist?list=PLUl4u3cNGP61Q_RVDn6srWbLV_zFnd9n0 In this class, Prof. Gensler reviews developments

From playlist MIT 15.S08 FinTech: Shaping the Financial World, Spring 2020

Video thumbnail

Parameters of Morlet wavelet (time-frequency trade-off)

This video lesson is part of a complete course on neuroscience time series analyses. The full course includes - over 47 hours of video instruction - lots and lots of MATLAB exercises and problem sets - access to a dedicated Q&A forum. You can find out more here: https://www.udemy.

From playlist NEW ANTS #3) Time-frequency analysis

Video thumbnail

21. Exchanges, Brokers, Dealers, Clearinghouses

Financial Markets (2011) (ECON 252) As the starting point for this lecture, Professor Shiller contrasts the view of economics as the theory of the allocation of scarce resources with the view of economics as the study of exchange. After a discussion of the difference between brokers and d

From playlist Financial Markets (2011) with Robert Shiller

Video thumbnail

High-Frequency Cryptocurrency Trading With Python | Hummingbot | PyChain 2022

This is a video recording of the PyChain 2022 conference sessions. Speaker - Federico Cardoso - Hummingbot How to develop high-frequency and market making trading strategies with Python Hummingbot is an open-source client-side framework that helps you build, manage, and run automated tr

From playlist PyChain 2022

Video thumbnail

[See Description] Programming for Finance with Python and Quantopian and Zipline Part 1

UPDATED series: https://pythonprogramming.net/quantopian-trading-strategies-introduction-python-programming-for-finance/ This series has become outdated with Quantopian 2.0. What is going on welcome to a python for finance tutorial video. Just to clarify right out of the gate, a lot of

From playlist Python for Finance with Zipline and Quantopian

Video thumbnail

The Rise And Fall Of Blitzscaling!

Sign up for Morning Brew Here: https://morningbrewdaily.com/patrickboyle Blitzscaling is what you do when you need to grow really, really quickly according to Reid Hoffmann the Founder of LinkedIn, and Elon Musk’s former partner at PayPal. Blitzscaling is high-impact entrepreneurship, it’

From playlist What is Happening In The Market?

Video thumbnail

How Does the Shape of Money Shape Life?

Viewers like you help make PBS (Thank you 😃) . Support your local PBS Member Station here: https://to.pbs.org/donateidea Why Are Coins Round? Give it a think.... We got merch! http://bit.ly/1U8fS1B Tweet us! http://bit.ly/pbsideachanneltwitter Idea Channel Facebook! http://bit.ly/pbsidea

From playlist Newest Episodes

Video thumbnail

Bitcoin Trading: Back-testing our Relative Strength Index

This video shows you how you can set up back testing for a simple indicator like the RSI. As Bitcoin, and other cryptocurrencies gain popularity, more and more people are curious about becoming a part of it. Many people start out curious about mining Bitcoins first, but then begin to wond

From playlist Bitcoin

Related pages

Mathematical finance | Bandwidth (signal processing) | Index arbitrage | Stochastic control | Millisecond | Interest rate parity | Statistical arbitrage | Sharpe ratio | Computational finance | Erlang (programming language) | Microsecond | Data mining