seminar psu 21.10.2013 empirical market microstructure
TRANSCRIPT
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Empirical market microstructure High frequency trading activity modeling
Zero intelligent agent based models
Perm State National Research University
Arbuzov [email protected]
Perm R groupr-group.mifit.ru
ITE.LAB “MathEconomics” Open Course
Russia, Perm, 21 November 2013
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Empirical market microstructure
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Empirical market microstructure
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Empirical market microstructure
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Empirical market microstructure
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The car is moving or standing ?
Empirical market microstructure
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The car is moving or standing ?
Empirical market microstructure
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The car is moving or standing ?
Empirical market microstructure
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The car is moving or standing ?
?
Empirical market microstructure
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Empirical market microstructure
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Types of orders
Market orders Limit orders
Empirical market microstructure
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Empirical market microstructure
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Empirical market microstructure
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Empirical market microstructure
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Long memory in order flow
Empirical market microstructure
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Diagonal effect [Biais et al (1995)]
Empirical market microstructure
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Types of agent in financial markets:
• Fundamental Traders
• Buy and Hold Traders
• Swing Traders
• Scalp Trading
• Arbitrageurs
• Technical analysis traders
• Break-out Traders
• Intuitive Traders
• High Frequency Traders
• News Traders
Empirical market microstructure
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HFTs create exponential growth of data in financial markets
Number of orders (left) and number of trades (right) from 2008 (violet) to 2012 (red color) on USA exchengesSource: NANEX, LLC (http://www.nanex.net/aqck/2817.HTML)
High frequency trading activity modeling
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High frequency trading activity modeling
Extraordinarily high-speed and sophisticated computer programs High message traffic Low latency Near-flat end-of-day net positions Short time frame for trading for establishing and liquidating positions Proprietary trading
What is HFT?
http://www.youtube.com/watch?v=GbGJsMJSWWk
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High frequency trading activity modeling
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Delay in quotes in USA market
Source: NANEX, LLC (http://www.nanex.net/aqck/2613.html)
High frequency trading activity modeling
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Источник: NANEX, LLC (http://www.nanex.net/Research/didnothappen/didnothappen.html)
High frequency trading activity modeling
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Источник: NANEX, LLC (http://www.nanex.net/aqck/2715.html)
High frequency trading activity modeling
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High frequency trading activity modeling
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Daniels model (2003)
Zero intelligent agent based modelsWe don’t know what “intelligence” or“rationality” are; but we do know how toexclude them
ZI modeling can be a foundation to whichmore formal models of learning are added…
Zero intelligent agent based models
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Estimation of parameters
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Estimation of spread
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Zero intelligent agent based models
Simulation results
Daniels model
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Zero intelligent agent based models
Simulation results (Daniels model)
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Zero intelligent agent based models
Mike-Farmer model (2008)
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Zero intelligent agent based models
Simulation results (Mike-Farmer model)