{"title":"A Practical Real Options Approach to Valuing High Frequency Trading System R&D Projects","authors":"A. Kumiega, Ben Van Vliet","doi":"10.2139/ssrn.2327201","DOIUrl":null,"url":null,"abstract":"In the age of automation, trading and market making is about estimating the fair price of automated trading system research and development projects. This requires a new methodology to arrive at such a fair price. A real options framework is a natural choice. In this paper we review a methodology for automated trading system R&D and present a practical real option model for valuing such projects so as to enable rapid strategy cycling.","PeriodicalId":414983,"journal":{"name":"IRPN: Innovation & Finance (Topic)","volume":"54 4 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2013-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"IRPN: Innovation & Finance (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2327201","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 2
Abstract
In the age of automation, trading and market making is about estimating the fair price of automated trading system research and development projects. This requires a new methodology to arrive at such a fair price. A real options framework is a natural choice. In this paper we review a methodology for automated trading system R&D and present a practical real option model for valuing such projects so as to enable rapid strategy cycling.
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