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November 2011

Proposed Algorithmic Trading Obligations Under MiFID II â What Are the Implications?

November 29, 2011 by mikeohara   Comments (0)

I finally managed to get hold of the latest “final” draft of MiFID II (195 pages) and MiFIR (59 pages) yesterday. Various versions of these documents have been floating around the City in recent weeks, but I’m reliably informed that what I’m looking at is pretty close to the official version due to be released next week, some time between the 17th and 21st October.


Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data [Ait-Sahalia, Jacod]

November 25, 2011 by mikeohara   Comments (0)

This paper describes a simple yet powerful methodology to decompose asset returns sampled at high frequency into their base components (continuous, small jumps, large jumps), determine the relative magnitude of the components, and analyze the finer characteristics of these components such as the degree of activity of the jumps. We extend the existing theory to incorporate to effect of market microstructure noise on the test statistics, apply the methodology to high frequency individual stock returns, transactions and quotes, stock index returns and compare the qualitative features of the estimated process for these different data and discuss the economic implications of the results.


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High Frequency Market Microstructure Noise Estimates and Liquidity Measures [Ait-Sahalia, Yu]

November 25, 2011 by mikeohara   Comments (0)

Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstructure noise component. We then relate these statistical measurements of market microstructure noise to observable characteristics of the underlying stocks, and in particular to different financial measures of their liquidity. We find that more liquid stocks based on financial characteristics have lower noise and noise-to-signal ratio measured from their high frequency returns. We then examine whether there exists a common, market-wide, factor in high frequency stock-level measurements of noise, and whether that factor is priced in asset returns.


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Workshop High Frequency Trading. Interviews with Albert Menkveld and Maureen O'Hara [Video]

November 23, 2011 by mikeohara   Comments (0)

Short interviews with Albert Menkveld, Associate Professor at VU University Amsterdam, and Maureen O'Hara, Professor at Cornell University New York, on the occasion of the workshop "High Frequency Trading: Financial and Regulatory Implications" held on October 21, 2011 in the Madrid Stock Exchange.

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HFT Panel Moderation in London

November 16, 2011 by mikeohara   Comments (0)

As the publisher of the HFT Review, some interesting opportunities come my way, including being asked to moderate industry panel sessions on HFT and algo trading-related topics.


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