Topic
Systematic trading
About: Systematic trading is a research topic. Over the lifetime, 70 publications have been published within this topic receiving 2295 citations.
Papers published on a yearly basis
Papers
Book•
14 May 2001
TL;DR: In this paper, a unified view of high frequency time series methods is presented, with particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets.
Abstract: Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by observing high-frequency or tick-by-tick data. Yet most studies published in financial literature deal with low frequency, regularly spaced data. For a variety of reasons, high-frequency data are becoming a way for understanding market microstructure. This book discusses the best mathematical models and tools for dealing with such vast amounts of data. This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets.
1,218 citations
TL;DR: In this article, it is shown formally that vote trading does improve the position of the traders but that at the same time trading may impose an external cost on non-traders.
Abstract: Although, conventionally, vote trading in legislatures has been condemned as socially undesirable by both scholars and lay citizens, a recently popular school of scholarship has argued that vote trading improves the traders' welfare in the direction of Pareto-optimal allocations. This essay is an attempt to reconcile the disagreement by showing formally that vote trading does improve the position of the traders but that at the same time trading may impose an external cost on nontraders. In sum, it turns out that sporadic and occasional trading is probably socially beneficial but that systematic trading may engender a paradox of vote trading. This paradox has the property that, while trading is immediately advantageous for the traders, still, when everybody trades, everybody is worse off. Furthermore, vote trading may not produce a stable equilibrium that is Pareto-optimal either for individual members or for coalitions of members.
178 citations
Posted Content•
TL;DR: This paper found that the average abnormal returns are not large enough to cover the transaction price movement between the bid and ask prices, and that these short run price reversals persist even after controlling for the influence of systematic trading patterns around the events.
Abstract: Prior empirical evidence of predictable variations in stock returns following large price changes is found to be, at least in part, driven by the sample selection bias arising from the systematic movement of closing transaction prices within the bid-ask spread. By using the average of the bid- ask prices in the sample selection process, the price reversal on the day following the events (day +1) disappears. For a short-run period after day +1, however, systematic abnormal return patterns are still observed. These short- run price reversals persist even after controlling for the influence of systematic trading patterns around the events. However, investigation of contrarian investment profits from these short-run price reversals shows that the average abnormal returns are not large enough to cover the transaction price movement between the bid and ask prices.
121 citations
TL;DR: The authors found that the average abnormal returns are not large enough to cover the transaction price movement between the bid and ask prices, and that these short-run price reversals persist even after controlling for the influence of systematic trading patterns around the events.
Abstract: Prior empirical evidence of predictable variations in stock returns following large price changes is found to be, at least in part, driven by the sample selection bias arising from the systematic movement of closing transaction prices within the bid-ask spread. By using the average of the bid-ask prices in the sample selection process, the price reversal on the day following the events (day +1) disappears. For a short-run period after day +1, however, systematic abnormal return patterns are still observed. These short-run price reversals persist even after controlling for the influence of systematic trading patterns around the events. However, investigation of contrarian investment profits from these short-run price reversals shows that the average abnormal returns are not large enough to cover the transaction price movement between the bid and ask prices.
113 citations
TL;DR: Systematic trading strategies are algorithmic procedures that allocate assets aiming to optimize a certain performance criterion as discussed by the authors, i.e., to obtain an edge in a highly competitive environment, an analyst n...
Abstract: Systematic trading strategies are algorithmic procedures that allocate assets aiming to optimize a certain performance criterion. To obtain an edge in a highly competitive environment, an analyst n...
70 citations
Related Topics (5)
Performance Metrics
| Year | Papers |
|---|---|
| 2021 | 5 |
| 2020 | 4 |
| 2019 | 7 |
| 2018 | 2 |
| 2017 | 4 |
| 2016 | 5 |