Finanzas 101: Tick Data

Tick data

El blog Algo Trading India -hallazgo del último trimestre del año- tiene un excelente post explicando lo que es Tick Data y como filtrarla. Financial markets are the absolute core source of high frequency data. The global financial markets produce millions or trillion of data per day. Those data can be quotes, transaction prices, transaction volume, transaction...+

Paper: HFT a donde vas?

The Future of  Computer Trading  in Financial Markets Well functioning financial markets are vital for everyone. They support businesses and growth across the world. They provide important services for investors, from large pension funds to the smallest investors. And they can even affect the long-term security of entire countries. Financial markets are evolving ever faster...+

Paper: HFT, enfoques para reducir la latencia

High Frequency Trading Acceleration using FPGAs Abstract This paper presents the design of an application specific hardware for accelerating High Frequency Trading applications. It is optimized to achieve the lowest possible latency for interpreting market data feeds and hence enable minimal round-trip times for executing electronic stock trades. The implementation described in this work enables...+

Paper: Impacto del HFT en el mercado de commodities

The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data Abstract This paper analyses the intraday co-movements between returns on several  commodity markets and on the stock market in the United States over the 1997-2011 period. By exploiting a new high frequency database, we compute various rolling correlations at (i) 1-hour, (ii) 5-minute, ...+