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Języki publikacji
Abstrakty
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)
Rocznik
Tom
Numer
Strony
35--44
Opis fizyczny
Twórcy
autor
- Warsaw School of Economics, Poland
Bibliografia
- Attari M. (2004) Option Pricing Using Fourier Transform: A Numerically Efficient Simplification. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=520042, [dostęp: 1.07.2018].
- Bakshi G., Madan D. (2000) Spanning and Derivative-Security Valuation. Journal of Financial Economics, 2(55), 205-238.
- Black F., Scholes M. (1973) The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81(3), 637-654.
- Cardella L., Hao J., Kalcheva I., Ma Y. (2014) Computerization of the Equity, Foreign Exchange, Derivatives, and Fixed Income Markets. The Financial Review, 49(2), 231-243.
- Carr P., Madan D. B. (1999) Option Valuation Using the Fast Fourier Transform. Journal of Computational Finance, 2(4), 61-73.
- Cartea A., Jaimungal S. (2013) Modelling Asset Prices for Algorithmic and High- Frequency Trading. Applied Mathematical Finance, 20(6), 512-547.
- Chaboud A. P., Chiquoine B., Hjalmarsson E., Vega C. (2014) Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market. The Journal of Finance, 69(5), 2045-2084.
- Goldstein M. A., Kumar P., Graves F. C. (2014) Computerized and High-Frequency Trading. The Financial Review, 49(2), 177-202.
- Haldane A. G. (2016) Patience and Finance, Oxford China Business Forum (Beijing), Bank of England, Speech. http://www.bankofengland.co.uk/archive/Documents/historicpubs /speeches/2010/speech445.pdf.
- Heston S. (1993) A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. The Review of Financial Studies, 6(2), 327-343.
- Narang M. (2016) Tradeworx, Inc. Public Commentary on SEC Market Structure Concept Release, SEC Comment Letter. https://www.sec.gov/comments/s7-02-10/s70210- 129.pdf.
- Orzechowski A. (2018) Pricing Correlation Options: from the P. Carr and D. Madan Approach to the New Method Based on the Fourier Transform. Economics and Business Review, 4(1), 16-28.
- Popper N. (2012) Beyond Wall St., Curbs on High-Speed Trades Proceed. The New York Times.
- Popper N. (2016) High-Speed Trading No Longer Hurtling Forward. http://www. nytimes.com/2012/10/15/business/with-profits-dropping-high-speed-trading-cools19 down.html?_r=0.
- Teleaven P., Galas M., Lalchand V. (2013) Algorithmic Trading Review. Communications of the ACM, 56(11), 76-85.
- Yadav Y. (2015) How Algorithmic Trading Undermines Efficiency in Capital Markets. Vanderbilt Law Review, 68(6), 1607-71.
- http://www.sec.gov/rules/concept/2010/34-61358.pdf.
- https://www.sec.gov/marketstructure/research/hft_lit_review_march_2014.pdf.
Typ dokumentu
Bibliografia
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bwmeta1.element.ekon-element-000171565744