統計数学セミナー
Seminar on Probability and Statistics
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Seminar on Probability and Statistics
Friday June 5 2015
Tokyo 056 (Host) and Osaka I407 (Web)
4:20-5:30 pm


A Note on Algorithmic Trading based on Some Personal Experience


足立高徳 / ADACHI, Takanori
立命館大学 / Ritsumeikan University

Abstract

I overview a brief history of HFT based on my 14 years' personal experience of the algorithmic trading business at a wall-street company. Starting with descriptions about layers of the algo business, I mention a stochastic index arbitrage business that I employed in some detail. After reviewing some HFT specific issues such as super short-period alpha, I try to forecast what is going on with HFT in near future.




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Seminar on Probability and Statistics