Buy Low, Sell High: A High Frequency Trading Perspective

Álvaro Cartea, Sebastian Jaimungal, Jason Ricci · 2014 · SIAM Journal on Financial Mathematics

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Market making with self-exciting order flow, adverse selection and short-term alpha. Shows how to skew quotes on signals.

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At a glance

Level: Advanced: Stochastic control, point processes, heavy econometrics or deep learning
Horizon: HFT
Data needed: L1 quotes, Trades Set what data you have
Themes: Market making Order-flow alpha
Assets: Equities
Market: Global

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Cite

@article{cartea2014sell,
  author = {Cartea, Álvaro and Jaimungal, Sebastian and Ricci, Jason},
  title = {{Buy Low, Sell High: A High Frequency Trading Perspective}},
  journal = {SIAM Journal on Financial Mathematics},
  year = {2014},
  doi = {10.1137/130911196}
}

Cartea, Á., Jaimungal, S., & Ricci, J. (2014). Buy Low, Sell High: A High Frequency Trading Perspective. SIAM Journal on Financial Mathematics. https://doi.org/10.1137/130911196