1. Empirical market microstructure
High frequency trading activity modeling
Zero intelligent agent based models
Perm State National Research
University
Perm R group
r-group.mifit.ru
ITE.LAB “MathEconomics” Open Course
Russia, Perm, 21 November 2013
Arbuzov V.
arbuzov@prognoz.ru
17. Empirical market microstructure
Types of agent in financial markets:
• Fundamental Traders
• Buy and Hold Traders
• Swing Traders
• Scalp Trading
• Arbitrageurs
• Technical analysis traders
• Break-out Traders
• Intuitive Traders
• High Frequency Traders
• News Traders
18. High frequency trading activity modeling
HFTs create exponential
growth of data in
financial markets
Number of orders (left) and number of trades (right) from 2008 (violet) to 2012 (red color) on USA exchenges
Source: NANEX, LLC (http://www.nanex.net/aqck/2817.HTML)
19. High frequency trading activity modeling
What is HFT?
Extraordinarily high-speed and sophisticated computer programs
High message traffic
Low latency
Near-flat end-of-day net positions
Short time frame for trading for establishing and liquidating positions
Proprietary trading
http://www.youtube.com/watch?v=GbGJsMJSWWk
25. Zero intelligent agent based models
Zero intelligent agent based models
We don’t know what “intelligence” or
“rationality” are; but we do know how to
exclude them
ZI modeling can be a foundation to which
more formal models of learning are added…
Daniels model (2003)