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An Examination of the Optimal Timing Strategy for a Slow Trader Investing in a High Frequency Trading Technology

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  • Delaney, L.

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  • Delaney, L., 2015. "An Examination of the Optimal Timing Strategy for a Slow Trader Investing in a High Frequency Trading Technology," Working Papers 15/04, Department of Economics, City University London.
    • Handle: RePEc:cty:dpaper:15/04
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    File URL: https://openaccess.city.ac.uk/id/eprint/12205/1/High%20Frequency%20Trading%20Technology_Laura%20Delaney_1504.pdf
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    References listed on IDEAS

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    1. Michael Goldstein & Gregory Laughlin & Anthony Aguirre & Joseph Grundfest, 2014. "Information Transmission between Financial Markets in Chicago and New York," The Financial Review, Eastern Finance Association, vol. 49(2), pages 283-312, May.
    2. Biais, Bruno & Foucault, Thierry & Moinas, Sophie, 2015. "Equilibrium fast trading," Journal of Financial Economics, Elsevier, vol. 116(2), pages 292-313.
    3. Avinash K. Dixit & Robert S. Pindyck, 1994. "Investment under Uncertainty," Economics Books, Princeton University Press, edition 1, number 5474.
    4. Terrence Hendershott & Charles M. Jones & Albert J. Menkveld, 2011. "Does Algorithmic Trading Improve Liquidity?," Journal of Finance, American Finance Association, vol. 66(1), pages 1-33, February.
    5. Jonathan Brogaard & Terrence Hendershott & Ryan Riordan, 2014. "High-Frequency Trading and Price Discovery," The Review of Financial Studies, Society for Financial Studies, vol. 27(8), pages 2267-2306.
    6. Hendershott, Terrence & Riordan, Ryan, 2013. "Algorithmic Trading and the Market for Liquidity," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(4), pages 1001-1024, August.
    7. Menkveld, Albert J., 2013. "High frequency trading and the new market makers," Journal of Financial Markets, Elsevier, vol. 16(4), pages 712-740.
    8. Thijssen, Jacco J.J., 2010. "Preemption in a real option game with a first mover advantage and player-specific uncertainty," Journal of Economic Theory, Elsevier, vol. 145(6), pages 2448-2462, November.
    9. Hoffmann, Peter, 2014. "A dynamic limit order market with fast and slow traders," Journal of Financial Economics, Elsevier, vol. 113(1), pages 156-169.
    10. Jacco J.J. Thijssen, 2013. "An Easy-To-Use Toolkit for Solving Optimal Stopping Problems," Discussion Papers 13/24, Department of Economics, University of York.
    11. O'Hara, Maureen & Ye, Mao, 2011. "Is market fragmentation harming market quality?," Journal of Financial Economics, Elsevier, vol. 100(3), pages 459-474, June.
    12. Myers, Stewart C., 1977. "Determinants of corporate borrowing," Journal of Financial Economics, Elsevier, vol. 5(2), pages 147-175, November.
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    Cited by:

    1. Viktor Manahov, 2018. "The rise of the machines in commodities markets: new evidence obtained using Strongly Typed Genetic Programming," Annals of Operations Research, Springer, vol. 260(1), pages 321-352, January.

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