HFTViz: Visualization for the exploration of high frequency trading data

2021 ◽  
pp. 147387162110649
Author(s):  
Javad Yaali ◽  
Vincent Grégoire ◽  
Thomas Hurtut
Keyword(s):  
Portfolio Management ◽  
High Frequency ◽  
High Speed ◽  
High Frequency Trading ◽  
Domain Experts ◽  
Risk Return ◽  
Visualization Tools ◽  
Liquidity Measures ◽  
Trading Volumes

High Frequency Trading (HFT), mainly based on high speed infrastructure, is a significant element of the trading industry. However, trading machines generate enormous quantities of trading messages that are difficult to explore for financial researchers and traders. Visualization tools of financial data usually focus on portfolio management and the analysis of the relationships between risk and return. Beside risk-return relationship, there are other aspects that attract financial researchers like liquidity and moments of flash crashes in the market. HFT researchers can extract these aspects from HFT data since it shows every detail of the market movement. In this paper, we present HFTViz, a visualization tool designed to help financial researchers explore the HFT dataset provided by NASDAQ exchange. HFTViz provides a comprehensive dashboard aimed at facilitate HFT data exploration. HFTViz contains two sections. It first proposes an overview of the market on a specific date. After selecting desired stocks from overview visualization to investigate in detail, HFTViz also provides a detailed view of the trading messages, the trading volumes and the liquidity measures. In a case study gathering five domain experts, we illustrate the usefulness of HFTViz.

Financial Realism in The Fear Index

2018 ◽  
Author(s):  
Arne De Boever
Keyword(s):  
Science Fiction ◽  
High Frequency ◽  
High Frequency Trading ◽  
Philosophical Study ◽  
The Novel ◽  
Main Character ◽  
Center Stage ◽  
Fear Index

Chapter Three compares and contrasts the psychotic realism of Psycho and American Psycho to the financial realism of more contemporary finance fictions such as Alger’s The Darlings. The case-study in this chapter is Robert Harris’ science-fiction thriller The Fear Index. While The Fear Index continues the finance novel’s theme of psychosis—its main character, a finance man, is suggested to be psychotic and the novel includes a murder scene set in a hotel shower that is clearly inter-textual with Hitchcock’s film. The novel also resists this theme by refusing to blame everything that is happening to its main character on psychosis. Instead, it gradually reveals that the source of the evils narrated in the book is a trading algorithm that has gone rogue. The Fear Index thus introduces its readers to the contemporary economy of algorithmic, high-frequency trading—a reality that, while it may sound like science fiction, is represented in the novel in a realist, and at one point even documentary-like, mode. Generally received as a sci-fi thriller, The Fear Index thus presents an important step forward in relation to the psychotic realism of American Psycho in that it resists what Joseph Vogl in his philosophical study of the economy has called “the spectralization of capital.” The economy is certainly not forgotten in Harris’ novel but instead takes center-stage.

scholarly journals Esg or Not Esg? A Benchmarking Analysis

2020 ◽  
Vol 15 (8) ◽  
pp. 152
Author(s):  
Valeria Vannoni ◽  
Emanuele Ciotti
Keyword(s):  
Financial Markets ◽  
Portfolio Management ◽  
Empirical Investigation ◽  
Risk Return ◽  
Social Governance ◽  
Alternative Approach ◽  
Governance Practices ◽  
Sustainable Investments ◽  
Level Analysis

Sustainable investments are increasingly leaving their niche position to enter financial markets in a remarkable way in recent years. In this scenario, ESG (Enviromental, Social, Governance) practices are emerging alongside the risk-return approaches that for years have exclusively determined the portfolio choices of investors. This paper aims to give a contribution to the flourishing debate on the application of ESG criteria to investments’ selection, using a case study through a benchmarking approach. The empirical investigation focuses on a two-level analysis of GIS Global Bond ESG Fund (EUR Hedged), managed by PIMCO management company. Results highlight that ESG practises should be referred more as a complementary rather than alternative approach for portfolio management.

High-Frequency Financial Econometrics

2014 ◽  
Author(s):  
Yacine Aït-Sahalia ◽  
Jean Jacod
Keyword(s):  
High Frequency ◽  
Practical Importance ◽  
Financial Econometrics ◽  
Trading Strategies ◽  
Financial Data ◽  
Jump Processes ◽  
High Frequency Trading ◽  
Microstructure Noise ◽  
Econometric Methods ◽  
Mathematical Foundations

High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. The book covers the mathematical foundations of stochastic processes, describes the primary characteristics of high-frequency financial data, and presents the asymptotic concepts that their analysis relies on. It also deals with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As the book demonstrates, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. The book approaches high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.

Case study: Simulation and control of high frequency noise for commercial vehicle cab considering leak

2019 ◽  
Vol 67 (4) ◽  
pp. 315-329
Author(s):  
Rongjiang Tang ◽  
Zhe Tong ◽  
Weiguang Zheng ◽  
Shenfang Li ◽  
Li Huang
Keyword(s):  
High Frequency ◽  
Commercial Vehicle ◽  
Frequency Noise ◽  
High Frequency Noise ◽  
Simulation And Control ◽  
And Control

High-Frequency Trading

2011 ◽  
Author(s):  
Peter Gomber ◽  
Björn Arndt ◽  
Marco Lutat ◽  
Tim Elko Uhle
Keyword(s):  
High Frequency ◽  
High Frequency Trading
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