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Limit order book models and optimal trading strategies
Limit_Order_Model  Optimal_Execution 
21 days ago
Optimal posting distance of limit orders: a stochastic algorithm approach
Limit_Order_Model 
4 weeks ago
Market Microstructure conference
Market_Microstructure  Algorithmic_Trading 
4 weeks ago
Market Microstructure knowledge needed to control an intra-day trading process
Optimal_Execution  SmartPost  Backtesting  WhitePaperIdeas  Market_Microstructure 
4 weeks ago
Dark Pools: Theory and Practice
Dark_Pools  Algorithmic_Trading  WhitePaperIdeas 
4 weeks ago
Trading Physics Market structure Resources/Papers
Prediction  Algorithmic_Trading  High_Frequency  WhitePaperIdeas  LockedMarkets 
5 weeks ago
Trade Scheduling in Equity Markets:
Optimal_Execution  WhitePaper  Nomura  Algorithmic_Trading  Volume_Prediction 
7 weeks ago
Limit order market analysis and modelling: on an universal cause for over-diffusive prices
Limit_Order_Model  EconoPhysics 
7 weeks ago
Optimal Portfolio Execution using Market and Limit Orders
Optimal_Execution 
7 weeks ago
A Competing Risk Analysis of Executions and Cancellations in a Limit Order Market
Limit_Order_Model 
9 weeks ago
Anatomy of Trade Balanced BAsket
WhitePaperIdeas  Portfolio_Strategy 
9 weeks ago
Canadian Microstructure Review Fourth Quarter, 2011
Market_Microstructure  Canada  WhitePaperIdeas 
9 weeks ago
Do liquidity measures measure liquidity?$
Market_Microstructure  WhitePaperIdeas  EffectiveSpread 
9 weeks ago
Execution Quality
Smart_Order_Routing  Execution_Quality  WhitePaperIdeas 
9 weeks ago
Measuring and Predicting Liquidity in the Stock Market
Liquidity  Market_Microstructure  WhitePaperIdeas 
11 weeks ago
Advances in High Frequency Strategies
HFT  Optimal_Execution  Toxicity  VPIN  Stealth_Trading 
11 weeks ago
Optimal Trade Execution in Illiquid Markets
Optimal_Execution  Limit_Order_Book 
12 weeks ago
Market MicroStructure Models
Notes on models used by HFT
Market_Microstructure  High_Frequency  Prediction  Limit_Order_Book 
march 2012
Bayesian Bandit
Bandit  Bayesian  Reinforcement  Smart_Order_Routing  Hidden_Liquidity_Prediction 
february 2012
Max Dama on Automated Trading
Algorithmic_Trading  Statistical_Arbitrage  Prediction 
february 2012
A Point Process Model for the High-Frequency Dynamics of Limit Order Books
High_Frequency  Hawkes_Process  Limit_Order_Book 
february 2012
Anatomy of an Algo
Algorithmic_Trading  Almgren  Microprice  WhitePaperIdeas 
february 2012
Algorithmic and High-frequency trading: an overview
WhitePaper  Algorithmic_Trading 
february 2012
Modeling Stock Order Flows and Learning Market-Making from Data
Market_Making  Reinforcement  Prediction 
february 2012
Stochastic Control Theory and High Frequency Trading
Market_Making  Stochastic_Calculus  High_Frequency  Knight 
february 2012
Electronic Market Making Potential Profits and Research Opportunities
High_Frequency  Market_Making  Microprice  Prediction  Kalman_Filter 
february 2012
Optimal Display of Iceberg Orders
Iceberg_Orders  Optimal_Order_Size 
february 2012
Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data
Limit_Order_Model  Optimal_Order_Size  Algorithmic_Trading 
february 2012
The Price Impact of Order Book Events
High_Frequency  Limit_Order_Book  Prediction 
february 2012
Econometrics: Models of Regime Changes
Hidden_Markov_Models  Regime_Change  Timeseries  Prediction 
february 2012
Quantitative Trading Links
High_Frequency  Statistical_Arbitrage  Technical_Analysis 
february 2012
Flexible least squares for temporal data mining and statistical arbitrage
Kalman_Filter  Regression  Statistical_Arbitrage 
january 2012
The execution puzzle: How and when to trade to minimize cost
WhitePaper  Optimal_Execution  Limit_Order_Model  Implemntation_Shortfall 
january 2012
Canadian Market Data Trends
Market_Microstructure  WhitePaperIdeas  Canada 
january 2012
[no title]
Mean  Fields  Bellman  Equations 
december 2011
A Random Order Placement Model of Price Formation in the Continuous Double Auction
Limit_Order_Model  Fill_Probability 
december 2011
Reconstructing the Order Book
Limit_Order_Book 
december 2011
Optimization of Conditional Trajectories in a Market Place of Multiple Liquidity Pools
Limit_Order_Model  SmartPost 
december 2011
Volume Profiles: A Curve By Any Other Name…
Algorithmic_Trading  VWAP  Volume_Prediction  WhitePaperIdeas 
november 2011
Locked Markets Canada
Algorithmic_Trading  WhitePaperIdeas 
november 2011
www.bloombergtradebook.com/pdfs/price.pdf
Smart_Order_Routing 
november 2011
Price sensitivity vs. urgency in liquidity capture | The Trade News
Smart_Order_Routing 
november 2011
High Frequency Trade Prediction with Bivariate Hawkes Process 1
Hawkes_Process  High_Frequency  Prediction 
november 2011
QuantNet Statistical Arbitrage AlgoTrading Links
Algorithmic_Trading  Statistical_Arbitrage 
november 2011
geometric brownian trade liquidation grant carlisle - Google Search
grantcarlisle.com/downloadfspdf.php?ID=6
Optimal_Execution  Stochastic_Calculus 
november 2011
Algorithmic Trading Quant Models - Lehman Market Impact Presentation
Algorithmic_Trading  Presentations  WhitePaperIdeas  Market_Impact  Optimal_Execution 
november 2011
Adverse Selection in an HFT Environment
Adverse_Selection  Dark_Pools  HFT  WhitePaperIdeas 
november 2011
Dark Pools Adverser Selection
Adverse_Selection  Anti-Gaming  Dark_Pools  WhitePaper 
november 2011
Low Latency Trading
Algorithmic_Trading  HFT 
november 2011
Measurement of HFT
Algorithmic_Trading  HFT  WhitePaperIdeas 
november 2011
choosh.csee.ogi.edu/spkf/spkf_files/SPKF - Technical Overview.pdf
Kalman_Filter 
october 2011
hal-supelec.archives-ouvertes.fr/docs/00/32/70/81/PDF/Supelec425.pdf
Bayesian  Kalman_Filter  machine_leaning 
october 2011
https://www.cheuvreux.com/pdf/Navigating_Liquidity_november2008.pdf
Algorithmic_Trading  Hidden_Liquidity_Prediction 
october 2011
Fitting a Power-Law with Censored Data - A Computer Scientist in a Business School
Maximum_Likelihood  Power_Law  Survival_Analysis 
october 2011
infoscience.epfl.ch/record/112202/files/lafteris.pdf
Survival_Analysis 
october 2011
High-Frequency Financial Data Analysis with R
High_Frequency  R 
september 2011
Optimal Execution in the Global FX Market
FX  Optimal_Execution 
september 2011
Best Execution of a Trade: An Adaptive Approximate Dynamic Programming Approach using Actor-Critic
Adaptive_Execution  Optimal_Execution 
september 2011
Intraday Seasonality TimeSeries
Intrday_Seasonality  time_series 
september 2011
TimeSeries smoothing Intraday seasonality
time_series 
september 2011
Estimating the Gains from Trade in Limit-Order Markets
Fill_Probability  Limit_Order_Model  Survival_Analysis 
september 2011
Algorithmic Prediction of Health-Care Costs
CART  Clustering  Data_Mining 
september 2011
Automated High Frequency Market Making
Adverse  High_Frequency  Limit_Order_Model  Market_Making 
september 2011
Interest Rate Futures Algos
Algorithmic_Trading  Futures  Microprice  Cointegration 
september 2011
Deutsche Bank White Paper IS - vs Participate Scaling
Implemntation_Shortfall 
september 2011
Execution Times of Small Limit Orders: A Simpler Modeling Approach
Limit_Order_Model  Survival_Analysis 
september 2011
goldman sigma dark pool allocation
Dark_Pools  Smart_Order_Routing  SmartPost 
august 2011
Modelling Stock Orders Using Hawkes's Self-Exciting Process
High_Frequency  Limit_Order_Book  Prediction 
august 2011
Blog on HFT Trading Strategies
Algorithmic_Trading  Blogs  HFT  R 
august 2011
SOR Comparisons
Smart_Order_Routing 
august 2011
India NRI Investments etc
Investing  NRI 
august 2011
Statistical analysis and agent-based microstructure modeling of high frequency financial trading
Limit_Order_Model  Weibull 
august 2011
A simple alternative to Kaplan–Meier for survival curves
Survival_Analysis 
august 2011
Optimal Algorithmic Trading
Market_Impact  Optimal_Execution  Portfolio_Strategy 
august 2011
Volatility Estimation
Intra-day_volatility  Volatility 
august 2011
Realised Kernels in Practice: Trades and Quotes
High_Frequency  Intra-day_volatility 
august 2011
RTAQ: Tools for the analysis of trades and quotes in R
R  TAQ 
august 2011
Muti agent adaptive sor
Hidden_Liquidity_Prediction  Smart_Order_Routing 
august 2011
A statistical model for detecting hidden liquidity
Hidden_Liquidity_Prediction  Smart_Order_Routing 
august 2011
Algo Trading Papers
Algorithmic_Trading 
august 2011
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