scholarly journals GetHFData: A R package for downloading and aggregating high frequency trading data from Bovespa

2016 ◽  
Vol 14 (3) ◽  
pp. 443 ◽  
Author(s):  
Marcelo Scherer Perlin ◽  
Henrique P. Ramos
Keyword(s):  
Data Acquisition ◽  
Financial Market ◽  
High Frequency ◽  
R Package ◽  
Computational Effort ◽  
Financial Data ◽  
High Frequency Trading ◽  
Data Acquisition And Processing

This paper introduces GetHFData, a R package for downloading, importing and aggregating high frequency trading data from the Brazilian financial market. Based on a set of user choices, the package GetHFData will download the required files directly from Bovespa’s ftp site and aggregate the financial data. The main objective of the publication of this software is to facilitate the computational effort related to research based on this large financial dataset and also to increase the reproducibility of studies by setting a replicable standard for data acquisition and processing. In this paper we present the available functions of the software, a brief description of the Brazilian market and several reproducible examples of usage.

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.

scholarly journals High‑Frequency Trading in the Modern Market Microstructure: Opportunities and Threats

2019 ◽  
Vol 7 (3) ◽  
pp. 25-36
Author(s):  
M. Zharikov
Keyword(s):  
Financial Markets ◽  
Financial Market ◽  
Market Microstructure ◽  
High Frequency ◽  
Financial Engineering ◽  
Market Design ◽  
High Frequency Trading ◽  
Optimal Trading ◽  
Trading Market ◽  
Long Run

The article covers some ideas about the research on high-frequency trading and financial market design. The topic is time-relevant because today there exists a need to convince traders that there is a simple structural floor in the way that the financial markets are designed. The article reveals the significance of trading on the floor that the foremost fundamental constraint is limited time. The author proves that time on the financial market feels, to some extent, infinite when someone counts it in millions of seconds, but time is nevertheless finite. The author then gets into the actual research on high-frequency trading in the financial market design. The motivation for this project is to analyse activity among high-frequency trading firms by which investments of substantial sums of money are understood as economically trivial speed improvements. The theoretical significance of the research’s outcomes lies in outlaying the systemic approach to dealing with stochastic control problems in the context of financial engineering. The practical relevance of the paper lies in the mechanism that allows solving problems surrounding optimal trading, market microstructure, high-frequency trading, etc. The article concludes by talking about the issues in the modern electronic markets and by giving lessons to dealing with them in the long run.

scholarly journals A financial market with singular drift and no arbitrage

2020 ◽  
Author(s):  
Nacira Agram ◽  
Bernt Øksendal
Keyword(s):  
Brownian Motion ◽  
Financial Market ◽  
High Frequency ◽  
Continuous Process ◽  
Mathematical Finance ◽  
Market Model ◽  
High Frequency Trading ◽  
No Arbitrage ◽  
Drift Term ◽  
Singular Drift

AbstractWe study a financial market where the risky asset is modelled by a geometric Itô-Lévy process, with a singular drift term. This can for example model a situation where the asset price is partially controlled by a company which intervenes when the price is reaching a certain lower barrier. See e.g. Jarrow and Protter (J Bank Finan 29:2803–2820, 2005) for an explanation and discussion of this model in the Brownian motion case. As already pointed out by Karatzas and Shreve (Methods of Mathematical Finance, Springer, Berlin, 1998) (in the continuous setting), this allows for arbitrages in the market. However, the situation in the case of jumps is not clear. Moreover, it is not clear what happens if there is a delay in the system. In this paper we consider a jump diffusion market model with a singular drift term modelled as the local time of a given process, and with a delay $$\theta > 0$$ θ > 0 in the information flow available for the trader. We allow the stock price dynamics to depend on both a continuous process (Brownian motion) and a jump process (Poisson random measure). We believe that jumps and delays are essential in order to get more realistic financial market models. Using white noise calculus we compute explicitly the optimal consumption rate and portfolio in this case and we show that the maximal value is finite as long as $$\theta > 0$$ θ > 0 . This implies that there is no arbitrage in the market in that case. However, when $$\theta $$ θ goes to 0, the value goes to infinity. This is in agreement with the above result that is an arbitrage when there is no delay. Our model is also relevant for high frequency trading issues. This is because high frequency trading often leads to intensive trading taking place on close to infinitesimal lengths of time, which in the limit corresponds to trading on time sets of measure 0. This may in turn lead to a singular drift in the pricing dynamics. See e.g. Lachapelle et al. (Math Finan Econom 10(3):223–262, 2016) and the references therein.

scholarly journals The Ethics of Financial Market Making and Its Implications for High-Frequency Trading

2021 ◽  
Author(s):  
Andrea Roncella ◽  
Ignacio Ferrero
Keyword(s):  
Financial Market ◽  
High Frequency ◽  
Common Good ◽  
High Frequency Trading ◽  
Wealth Accumulation ◽  
Real Economy ◽  
Market Making ◽  
Modern Times ◽  
Financial Innovations ◽  
The Common

AbstractDuring the last 20 years, the financial sector has undergone an unprecedented transformation due to new regulations and the implementation of several technological advancements. The combination of regulation and technology has brought about new financial processes that have fundamentally changed how financial market making is done. This paper studies the ethics of financial market making and its implications for one of the most controversial financial innovations of modern times, namely high-frequency trading (HFT). We claim that the Aristotelian distinction between natural chrematistics, which is aimed at serving the real economy, and unnatural chrematistics, whose ultimate purpose is wealth accumulation, can be a useful criterion to assess the ethics of financial market making and the goodness of an innovation as HFT, and how it can serve the common good of society. This approach can be defined as ‘purpose oriented’ or ‘purpose fulfillment’.

INES MOVIES : A NEW ACOUSTIC DATA ACQUISITION AND PROCESSING SYSTEM

1990 ◽  
Vol 51 (C2) ◽  
pp. C2-939-C2-942 ◽  
Author(s):  
N. DINER ◽  
A. WEILL ◽  
J. Y. COAIL ◽  
J. M. COUDEVILLE
Keyword(s):  
Data Acquisition ◽  
Processing System ◽  
Acoustic Data ◽  
Data Acquisition And Processing
Sign in / Sign up

Export Citation Format

Share Document