The relatively recent phenomenon of high-frequency trading has had a profound impact on
the micro-structure of financial markets. Several authors hailed it as a provider of liquidity …

Portfolio analytics is critical for identifying investment opportunities, keeping portfolios
aligned with investment objectives, and monitoring portfolio risk and performance. Analytics …

To analyze day trading dynamics for Nifty Index futures and options contracts, a detailed
study is steered to understand the quantum of volume traded and how volume traded affects …

This article presents a model of distributional properties of returns on financial instruments
tied to exchange traded funds (ETFs) via high-frequency statistical arbitrage. As the author's …

Indices, index funds and ETFs are grossly inaccurate and inefficient and affect more than€
120 trillion worth of securities, debts and commodities worldwide. This book analyzes the …

The first step in building an ontology is a comprehensive study of the knowledge domain for
the concept that captures its theories, definitions, descriptors, distinctions, and other …

In financial time series there are time periods in which market indices values or assets prices
increase or decrease monotonically. We call those events “price runs”,“elementary …

We present a novel framework illustrating the links between order aggressiveness and flash
crashes. Our framework involves a trading sequence beginning with significant increases in …

The algorithmic trading revolution has had a dramatic effect upon markets. Trading has
become faster, and in some ways more efficient, though potentially at the cost higher …

Present academic literature on HFTs considers them as the present-day de-facto market
makers. We show that under favorable market conditions, HFT market-making activity grows …