Is There Still Room for Increasing Speed in Algorithmic and High-Frequency Trading? The Case of European Options Priced in the Heston Model

• Autorzy: Arkadiusz Orzechowski
• Języki publikacji: EN

Abstrakty

EN

The purpose of the article was to investigate the possibility of increasing speed in transactions made within algorithmic and high-frequency trading. The analysis carried out for this purpose concerned the European options priced in the Heston model. Among issues being discussed, a new scheme of calculating Fourier and inverse Fourier transforms was proposed. It guarantees an increase of computational speed in relation to existing methods of generating final results.(original abstract)

Słowa kluczowe

EN

Fourier Transform; European options; Algorithms

PL

Transformacja Fouriera; Opcje europejskie; Algorytmy

• Czasopismo: Metody Ilościowe w Badaniach Ekonomicznych / Szkoła Główna Gospodarstwa Wiejskiego
• Rocznik: 2019
• Tom: 20(XX)
• Numer: nr 1
• Strony: 35--44

Twórcy

autor

Arkadiusz Orzechowski

• Warsaw School of Economics, Poland

Bibliografia

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Identyfikatory

DOI

https://doi.org/10.22630/MIBE.2019.20.1.4