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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