ECONIS Select – High frequency trading; flash trading; speed trading

06/2010

Web-Links:

• "Market linkages examined..."
  Bloomberg.com

Literature selected from our database ECONIS:

• Article: Hochfrequenz-Handel: schneller als der Blitz / Birga Teske
  In: Die Bank. - Köln: Bank-Verlag, ISSN 0342-3182, ZDB-ID 1316369. - 2010, 5, S. 22-24
• Title: High-frequency trading: a practical guide to algorithmic strategies and trading systems / Irene Aldridge
  Published: Hoboken, NJ: Wiley, c 2010
  Series: Wiley trading series
  Schlagwörter: Wertpapierhandel / Börsen-Informationssystem / Portfolio-Management / Wertpapieranalyse / Anlageverhalten / Zeit
  Link: Table of contents
  Signatory: A10-1498
• Article: Algos gone wild: risk in the world of automated trading strategies / Bernard S. Donefer
  In: The journal of trading. - New York, NY: Institutional Investor, ISSN 1559-3967, ZDB-ID 22383803. - Bd. 5.2010, 2, S. 31-34
• Title: The economics of algorithmic trading / von Ryan Joseph Riordan
  Published: 2009
  Links:
  http://nbn-resolving.de/urn:nbn:de:swb:90-140289
  http://digbib.ubka.uni-karlsruhe.de/volltexte/1000014028
  http://digbib.ubka.uni-karlsruhe.de/volltexte/documents/1080547
  Langzeitarchivierung Nationalbibliothek
• Article: Review: algorithmic trading / Jan Fraenkle; Svetlozar T. Rachev
  In: Investment management and financial innovations. - Sumy: Publishing Company "Business Perspectives", ISSN 1810-4967, ZDB-ID 2467221X. - Bd. 6.2009, 1, S. 7-20
  Schlagwörter: Wertpapierhandel / Börsen-Informationssystem / Mikrostrukturanalyse
• Article: Algorithmic activity on Xetra / Markus Gsell
  In: The journal of trading. - New York, NY: Institutional Investor, ISSN 1559-3967, ZDB-ID 22383803. - Bd. 4.2009, 3, S. 74-86
  Schlagwörter: Wertpapierhandel / Börsen-Informationssystem / Mikrostrukturanalyse / Deutsche Börse
• Title: Algorithmic trading engines versus human traders: do they behave different in securities markets? / Peter Gomber; Markus Gsell
  Published: Frankfurt, Main: Center for Financial Studies, Apr. 2009
  Series: CFS working paper; 2009,10
  Schlagwörter: Wertpapierhandel / Börsen-Informationssystem / Börsenmakler / Vergleich / Auftragsabwicklung / Deutschland
  Link: http://www.ifk-cfs.de/fileadmin/downloads/publications/wp/09_10.pdf
• Article: The high-frequency impact of news on long-term yields and forward rates: is it real? / Meredith J. Beechey; Jonathan H. Wright
  In: Journal of monetary economics. - Amsterdam: Elsevier, ISSN 0304-3932, ZDB-ID 1911557. - Bd. 56.2009, 4, S. 535-544
  Schlagwörter: Ankündigungseffekt / Makroökonomischer Einfluss / Realzins / Zinsstruktur / USA
• Article: Analysis of ultra-high-frequency financial data using advanced Fourier transforms / Iacopo Giampaoli; Wing Lon Ng; Nick Constantinou
  In: Finance research letters. - Amsterdam [u.a.]: Elsevier, ISSN 1544-6123, ZDB-ID 21813863. - Bd. 6.2009, 1, S. 47-53
• Article: The high-frequency responses of Australian financial futures to unexpected cash rate announcements / Xinsheng Lu; Francis In; Mingting Kou
  In: The economic record. - Carlton South, Vic.: Wiley-Blackwell, ISSN 0013-0249, ZDB-ID 2036897. - Bd. 85.2009 (Sep.)=Special issue, S. S22-S28
  Schlagwörter: Financial Futures / Schatzpapier / Geldpolitik / Ankündigungseffekt / Australien
• Title: Chasing the same signals: how black-box trading influences stock markets from Wall Street to Shanghai / Brian R. Brown
  Published: Singapore: John Wiley (Asia), 2009
  Series: Wiley trading
  Schlagwörter: Wertpapierhandel / Börsenkurs / Wertpapierspekulation / Noise Trading
  Signatory: B 369898
• Title: Quantifying high-frequency market reactions to real-time news sentiment announcements / Axel Groß-Klußmann; Nikolaus Hautsch
  Published: Berlin: SFB 649, Economic Risk, 2009
  Series: SFB 649 discussion paper; 2009,063
  Schlagwörter: Börsenkurs / Kapitalertrag / Volatilität / Ankündigungseffekt / Publizitätspflicht / Informationseffizienz / Marktliquidität / Schätzung / Großbritannien
  Link: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2009-063.pdf
• Article: Using high-frequency transaction data to estimate the probability of informed trading / Anthony Tay; Christopher Ting; Yiu Kuen Tse; Mitch Warachka
  In: Journal of financial econometrics. - Oxford: Univ. Press, ISSN 1479-8409, ZDB-ID 21605816. - Bd. 7.2009, 3, S. 288-311
• Title: Assessing the impact of algorithmic trading on markets: a simulation approach / Markus Gsell
  Published: Frankfurt, Main: Center for Financial Studies, June 2008
  Series: CFS working paper; 2008,49
  Schlagwörter: Wertpapierhandel / Börsen-Informationssystem / Auktionstheorie / Simulation / Börsenkurs / Volatilität / Theorie
  Link: http://www.ifk-cfs.de/fileadmin/downloads/publications/wp/08_49.pdf
• Title: Does algorithmic trading improve liquidity? / Terrence Hendershott; Charles M. Jones; Albert J. Menkveld
  Published: Frankfurt, Main: Center for Financial Studies, 26 Apr. 2008
  Series: CFS working paper; 2008,41
  Schlagwörter: Wertpapierhandel / Börsen-Informationssystem / Marktliquidität / Aktienmarkt / Mikrostrukturanalyse / USA
  Link: http://www.ifk-cfs.de/fileadmin/downloads/publications/wp/08_41.pdf
• Article: Algorithmic trading in the global FX market: the need for speed, tranparency, and fairness
  In: The journal of trading. - New York, NY: Institutional Investor, ISSN 1559-3967, ZDB-ID 22383803. - Bd. 3.2008, 2, S. 49-55
• Title: A framework for testing algorithmic trading strategies / Srinivas Raghavendra, Daniel Paraschiv and Laurentiu Vasiliu
  Published: Galway: Dep. of Economics, National University of Ireland, 2008
  Series: Working paper series / National University of Ireland, Department of Economics; 139
  Schlagwörter: Finanzmarkt / Wertpapierhandel / Strategie / Theorie
  Signatory: W 1597 (0139)
  Link: http://www.economics.nuig.ie/resrch/pdf/paper_0139.pdf
• Title: The high-frequency response of the EUR-US Dollar exchange rate to EBC monetary policy announcements / Christian Conrad and Michael J. Lamla
  Published: 2007
  Series: KOF working papers / Konjunkturforschungsstelle, Eidgenössische Technische Hochschule Zürich; 174
  Schlagwörter: Zinspolitik / Staatliche Information / Zentralbank / Volatilität / Wechselkurs / Euro / US-Dollar / ARCH-Modell / EU-Staaten / 1999-2006
  Links:
  http://e-collection.ethbib.ethz.ch/eserv/eth:29886/eth-29886-01.pdf
  http://e-collection.ethbib.ethz.ch/view/eth:29886
• Title: High frequency dynamics of the exchange rate in Chile / Kevin Cowan; David Rappoport; Jorge Selaive
  Published: [Santiago de Chile], 2007
  Series: Documentos de trabajo / Banco Central de Chile; 433
  Schlagwörter: Wechselkurs / Wechselkurspolitik / Pensionsfonds / Portfolio-Investition / Chile
  Signatory: W 1195 (433)
• Article: Is algorithmic trading distinctively different?: assessing its behavior in comparison to informed, momentum and noise traders / Markus Gsell
  In: Advances in business and finance studies, 2006; Vol. 1: Capital markets. - Hyderabad: Icfai Univ. Pr., ISBN 81-3140841-8. - 2007, S. 1-19
  Schlagwörter: Wertpapierhandel / Börsen-Informationssystem / Noise Trading / Mathematik
• Article: The high-frequency response of exchange rates and interest rates to macroeconomic announcements / Jon Faust, John H. Rogers, Shing-Yi B. Wang, Jonathan H. Wright
  In: Journal of monetary economics. - Amsterdam: Elsevier, ISSN 0304-3932, ZDB-ID 1911557. - Bd. 54.2007, 4, S. 1051-1068
  Schlagwörter: Wechselkurs / |stw| Zins / |stw| Ankündigungseffekt / |stw| Börsenkurs / |stw| USA / |stw| Makroökonomischer Einfluss
• Title: Statistical arbitrage: algorithmic trading insights and techniques / Andrew Pole
  Published: Hoboken, NJ: Wiley, c2007
  Series: Wiley finance series
  Schlagwörter: Wertpapierhandel / Arbitragegeschäft / Wertpapierspekulation / Monte-Carlo-Methode / Indexberechnung
  Links:
  Contributor biographical information
  Publisher description
  Table of contents only
  Signatory: A07-4968
• Article: Algorithmic trading patterns in Xetra orders / Johannes Prix, Otto Loistl & Michael Huetl
  In: The European journal of finance. - London: Routledge, ISSN 1351-847X, ZDB-ID 12824124. - Bd. 13.2007, 7/8, S. 717-739
  Schlagwörter: Wertpapierhandel / Mikrostrukturanalyse
• Title: Electronic and algorithmic trading technology: the complete guide / Kendall Kim
  Published: Amsterdam [u.a.]: Academic Press, an imprint of Elsevier, c2007
  Series: Complete technology guides for financial services series
  Schlagwörter: Wertpapierbörse / Börsen-Informationssystem / Wertpapierhandel
  Links:
  Table of contents only
  Publisher description
  Signatory: A07-5002
• Article: Development of machine learning software for high frequency trading in financial markets / Andrei Hryshko; Tom Downs
  In: Business applications and computational intelligence. - Hershey, Pa. [u.a.]: Idea Group Publ., ISBN 1-591-40703-6. - 2006, S. 406-430
  Schlagwörter: Computergestütztes Lernen / Evolutionärer Algorithmus / Finanzmarkt
• Title: Algorithmic trading II : precision, control, execution / Brian R. Bruce, Ed.
  Published: New York, NY: Institutional Investor Inc., 2006
  Schlagwörter: Finanzmarkt / Wertpapierhandel / Börsen-Informationssystem
  Link: Table of contents
  Signatory: B09-1230
• Title: Algorithmic trading: precision, control, execution / Brian R. Bruce, Ed.
  Published: New York, NY: Institutional Investor Inc., 2005
  Schlagwörter: Finanzmarkt / Wertpapierhandel / Transaktionskosten
  Link: Table of contents
  Signatory: B09-1229