{"title":"Buy Low Sell High: A High Frequency Trading Perspective","authors":"Á. Cartea, S. Jaimungal, Jason Ricci","doi":"10.2139/ssrn.1964781","DOIUrl":null,"url":null,"abstract":"We develop a high frequency (HF) trading strategy where the HF trader uses her superior speed to process information and to post limit sell and buy orders. By introducing a multifactor mutually exc...","PeriodicalId":178382,"journal":{"name":"ERN: Portfolio Optimization (Topic)","volume":"16 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2014-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"192","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Portfolio Optimization (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.1964781","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 192
Abstract
We develop a high frequency (HF) trading strategy where the HF trader uses her superior speed to process information and to post limit sell and buy orders. By introducing a multifactor mutually exc...
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