High frequency trading - page 3

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Any book with HFT applied to mt4?

 
on my own:
Any book with HFT applied to mt4?

Haven't found one yet

 

High Frequency Trading: Evolution and the Future : high_frequency_trading__evolution_and_the_future.pdf

Over the last few decades, regulators globally have been promoting greater transparency and competition among the exchanges in their market. Such regulatory changes, along with the advent of highly sophisticated and fast computer technology have given rise to a new class of trading known as high frequency trading (HFT). HFT is a form of trading in which security positions are turned over very quickly by leveraging advanced technology and the associated extremely low latency rates.

Ever since its inception at the turn of the 21st century, the popularity and usage of high frequency trading has been growing at an astonishing rate globally, bringing about significant changes in the way capital market firms carry out their trades. The floor-based style of trading is gradually being phased out, as more and more firms adapt to this new style of automated trading.

While HFT has numerous advantages, it creates its own set of unique challenges. Due to a number of market events including the infamous ‘May 6th Flash Crash’1 in 2010, HFT has come under criticism, resulting in regulators from across the world putting forth proposals aimed at curbing current HFT practices.

The recent controversies and regulatory proposals surrounding HFT have made most market participants sit up and take notice. This paper introduces the concept and origin of HFT, its impact on the markets, and what has caused regulators to pay special attention to this form of trading. The paper also talks about how both new and existing HFT firms can potentially benefit by focusing on certain investments and capabilities.
 
seekers:
Haven't found one yet

If you do, please post it

Thanks in advance

 

I don't think that HFT is possible using mt

 

High-Frequency Trading and Price Discovery : hft-pd.pdf

Financial markets have two important functions for asset pricing: liquidity and price discovery for incorporating information in prices (O’Hara 2003). Historically, financial markets have relied on intermediaries to facilitate these goals by providing immediacy to outside investors. Fully automated stock exchanges (Jain 2005) have increased markets’ trading capacity and enabled intermediaries to expand their use of technology. Increased automation has reduced the role for traditional human market makers and led to the rise of a new class of intermediary, typically referred to as high-frequency traders (HFTs). Using transaction level data from NASDAQ that identifies the buying and selling activity of a large group of HFTs, this paper examines the role of HFTs in the price discovery process.
Files:
hft-pd.pdf  650 kb
 

Nice collection, thanks

 

High Frequency Market Microstructure : high_frequency_trading_market_microstructure.pdf

Markets are different now, transformed by technology and high frequency trading. In this paper, I investigate the implications of these changes for high frequency market microstructure. I describe the new high frequency world, with a particular focus on how HFT affects the strategies of traders and markets. I discuss some of the gaps that arise when thinking about microstructure research issues in the high frequency world. I suggest that, like everything else in the markets, the research we do must also change to reflect the new realities of the high frequency world. I propose some topics for this new research agenda in high frequency market microstructure.
 

High-Frequency Trading and the Shaping of Markets : algorithms25.pdf

Computer algorithms are playing an ever more important role in financial markets. This paper proposes and exemplifies a sociology of algorithms that is (i) historical, in that it demonstrates path-dependence in the development of automated markets; (ii) ecological (in Abbott’s sense), in that it shows how automated high-frequency trading (HFT) is both itself an ecology and also is shaped by other linked ecologies (especially those of trading venues and of regulation); and (iii) “Zelizerian,” in that it highlights the importance of boundary work, especially of efforts to distinguish between (in effect) “good” and “bad” actors and algorithms. Empirically, the paper draws on interviews with 43 practitioners of HFT, and on a wider historical-sociology study (including interviews with a further 44 people) of the development of trading venues. The paper investigates the practices of HFT and analyses (in historical, ecological, and “Zelizerian” terms) how these differ in three different contexts (two types of share trading and foreign exchange).
Files:
algorithms25.pdf  501 kb
 

Understanding High Frequency Trading (HFT) : understanding_high_frequency_trading_hft.pdf

This paper is designed to cover the definitions of HFT set by regulators, the impact HFT has made on markets, the actions taken by exchange operators to maintain market integrity, and the regulatory response that are enacted or are being considered.

Among the key findings of this paper, is that HFT is not a strategy but a technology that financial firms are embracing around the world. Measuring the extent of HFT is recognized as complex, but trends are evident that HFT activity has plateaued on many of the markets where it was first introduced, and HFT continues to expand globally in new markets.

Exchanges have enacted many safeguards to ensure orderly markets. Regulators are reacting to concerns about HFT with new measures. The WFE sees the need to put the management of HFT issues as a central concern for markets, and to coordinate information and principles between market operators.
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