{"title":"高频交易系统研发项目评估的实用实物期权方法","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":"{\"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}","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}
A Practical Real Options Approach to Valuing High Frequency Trading System R&D Projects
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.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
