quantfinanceclub.com

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 hardware decoding of Ethernet, IP and UDP as well as of the FAST protocol which is a common protocol to transmit market feeds.

For this purpose, we developed a microcode engine with a corresponding instruction set as well as a compiler which enables the flexibility to support a wide range of applied trading protocols. The complete system has been implemented in RTL code and evaluated on an FPGA. Our approach shows a 4x latency reduction in comparison to the conventional Software based approach.

Link al Paper

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,  (iii) 10-second, and (iv) 1-second frequencies. Using this database, we document a synchronized structural break, characterized by a departure from zero, which starts in the course of 2008 and continues thereafter. This is consistent with the idea that recent financial innovations on commodity futures exchanges, in particular the high frequency trading activities and algorithm strategies have an impact on these correlations.

Link al Paper

Financial black swans driven by ultrafast machine ecology

Abstract

Society’s drive toward ever faster socio-technical systems means that there is an urgent need to understand the threat from ‘black swan’ extreme events that might emerge. On 6 May 2010, it took just five minutes for a spontaneous mix of human and machine interactions in the global trading cyberspace to generate an unprecedented system-wide Flash Crash. However, little is known about what lies ahead in the crucial sub-second regime where humans become unable to respond or intervene sufficiently quickly. Here we analyze a set of 18,520 ultrafast black swan events that we have uncovered in stock-price movements between 2006 and 2011. We provide empirical evidence for, and an accompanying theory of, an abrupt system-wide transition from a mixed human-machine phase to a new all-machine phase characterized by frequent black swan events with ultrafast durations (<650ms for crashes, <950ms for spikes). Our theory quantifies the systemic fluctuations in these two distinct phases in terms of the diversity of the system’s internal ecology and the amount of global information being processed. Our finding that the ten most susceptible entities are major international banks, hints at a hidden relationship between these ultrafast ‘fractures’ and the slow ‘breaking’ of the global financial system post-2006. More generally, our work provides tools to help predict and mitigate the systemic risk developing in any complex socio-technical system that attempts to operate at, or beyond, the limits of human response times.

Link al Paper

Federal Market Information Technology in the Post Flash Crash Era: Roles for Supercomputing

Abstract

This paper describes collaborative work between active traders, regulators, economists, and supercomputing researchers to replicate and extend investigations of the Flash Crash and other market anomalies in a National Laboratory HPC environment. Our work suggests that supercomputing tools and methods will be valuable to market regulators in achieving the goal of market safety, stability, and security. Research results using high frequency data and analytics are described, and directions for future development are discussed. Currently the key mechanism for preventing catastrophic market action are “circuit breakers.” We believe a more graduated approach, similar to the “yellow light” approach in motorsports to slow down traf?c, might be a better way to achieve the same goal. To enable this objective, we study a number of indicators that could foresee hazards in market conditions and explore options to con?rm such predictions Our tests con?rm that Volume Synchronized Probability of Informed Trading (VPIN) and a version of volume Her?ndahl-Hirschman Index (HHI) for measuring market fragmentation can indeed give strong signals ahead of the Flash Crash event on May 6 2010. This is a preliminary step toward a full-?edged early-warning system for unusual market conditions.

Link al Paper

(Haga click en la foto para ir a la Presentación)

En este capítulo, Leandro -vía Skype desde NY- le explica a Gaston qué es el Alfa, cómo es la generación del mismo, qué diferencias existen entre un trader tradicional y un trader de Alta Frecuencia.

Siempre Mejor en HD

No se olviden de visitar la pagina de Fun & Finance  en Facebook