Preface

Akansu, Ali N.; Torun, Mustafa

doi:10.1016/b978-0-12-801561-2.09984-6

Cited by 3 publications

(9 citation statements)

References 0 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…With the help of the example given in Akansu and Torun (2017), we explain herein the inner-workings of the LOB step by step for the limit and market order types, and track how they interact and impact the book to create a dynamically changing market for an asset in an exchange. Four LOB snapshots for a ticker are shown in Figure 1 to describe the LOB states just before and right after a limit order to buy 100 shares of let's say a stock at $98.75 per share is placed by a trader.…”

Section: 1mentioning

confidence: 99%

“…The order executions to buy and sell assets causes price fluctuations that are formulated as the market impact (Cont, 2011). Execution strategies are developed to lower market impact at favorable prices and times identified through the real-time analysis of LOB structure and its variations (Akansu and Torun, 2017).…”

Section: 1mentioning

confidence: 99%

“…Discrete-time counterpart of geometric Brownian motion model is obtained by sampling the price and given as (Akansu and Torun, 2017):…”

Section: 1mentioning

confidence: 99%

“…Note that a thorough understanding of LOB along with the technological and procedural specifics of the trading venue always help us to have better insight and intuition to build more complex proprietary HFT strategies (Akansu and Torun, 2017). Interested readers are referred to Hasbrouck (2007), Bouchaud et al (2002), Potters and Bouchaud (2003), Jain et al (2016), and Menkveld (2016) for further discussions on LOBs, and market microstructure in general.…”

mentioning

confidence: 99%

“…In theory, the price of a stock is usually modeled as the geometric Brownian motion in which the rate of return (price change) for a stock is defined as Bachelier (1900), and Akansu and Torun (2017): dp t ð Þ pðtÞ ¼ mt þsw t ð Þ; t X 0 where p(t) is the price of the stock, μ the drift, σ the volatility or the standard deviation of price change (return) and w(t) the standard Brownian motion. This stochastic differential equation has its solution obtained by using Ito's Lemma and expressed as Ito (1946):…”

mentioning

confidence: 99%

See 4 more Smart Citations

The flash crash: a review

Akansu

2017

JCMS

Self Cite

View full text Add to dashboard Cite

If you would like to write for this, or any other Emerald publication, then please use our Emerald for Authors service information about how to choose which publication to write for and submission guidelines are available for all. Please visit www.emeraldinsight.com/authors for more information. About Emerald www.emeraldinsight.comEmerald is a global publisher linking research and practice to the benefit of society. The company manages a portfolio of more than 290 journals and over 2,350 books and book series volumes, as well as providing an extensive range of online products and additional customer resources and services.Emerald is both COUNTER 4 and TRANSFER compliant. The organization is a partner of the Committee on Publication Ethics (COPE) and also works with Portico and the LOCKSS initiative for digital archive preservation.*Related content and download information correct at time of download. Purpose -The purpose of this paper is to present an overview of the flash crash, and explain why and how it happened. Design/methodology/approach -The author summarizes several studies suggesting various perspectives on the flash crash and its causes. Furthermore, the author highlights recently proposed and introduced improvements and regulations to reduce the risk of having similar market collapses in the future. Findings -It is an overview paper that highlights the state of the art on the subject. Research limitations/implications -Paper does not report any research findings of the author. Practical implications -High-frequency trading (HFT) along with its pros and cons is the new normal for most of the current electronic trading activity in the markets. It is well recognized by the experts that HFT may have its important shortcomings whenever the rules and regulations are not up to date to match the technological progress offering faster computational and execution capabilities. Social implications -HFT has created a societal discussion about its benefits and potential deficiencies as the common practice for trading due to potentially unequal access to market data by various categories of participants. Such arguments help the regulators to develop improvements to reduce the market risk and nurture more robust and fair markets for all. Originality/value -The paper has a tutorial value and summarizes the current state of HFT. The readers of more interest are guided to the most relevant literature for further reading.

show abstract

Section: 1mentioning

confidence: 99%

Section: 1mentioning

confidence: 99%

“…Discrete-time counterpart of geometric Brownian motion model is obtained by sampling the price and given as (Akansu and Torun, 2017):…”

Section: 1mentioning

confidence: 99%

mentioning

confidence: 99%

mentioning

confidence: 99%

See 3 more Smart Citations

The flash crash: a review

Akansu

2017

JCMS

Self Cite

View full text Add to dashboard Cite

show abstract

On sparsity of eigenportfolios to reduce transaction cost

Xiong

Akansu

2019

JCMS

Self Cite

View full text Add to dashboard Cite

Purpose Transaction cost becomes significant when one holds many securities in a large portfolio where capital allocations are frequently rebalanced due to variations in non-stationary statistical characteristics of the asset returns. The purpose of this paper is to employ a sparsing method to sparse the eigenportfolios, so that the transaction cost can be reduced and without any loss of its performance. Design/methodology/approach In this paper, the authors have designed pdf-optimized mid-tread Lloyd-Max quantizers based on the distribution of each eigenportfolio, and then employed them to sparse the eigenportfolios, so those small size orders may usually be ignored (sparsed), as the result, the trading costs have been reduced. Findings The authors find that the sparsing technique addressed in this paper is methodic, easy to implement for large size portfolios and it offers significant reduction in transaction cost without any loss of performance. Originality/value In this paper, the authors investigated the performance the sparsed eigenportfolios of stock returns in S&P500 Index. It is shown that the sparsing method is simple to implement and it provides high levels of sparsity without causing PNL loss. Therefore, transaction cost of managing a large size portfolio is reduced by employing such an efficient sparsity method.

show abstract

The Flash Crash: A Review

Akansu

2017

SSRN Journal

View full text Add to dashboard Cite

Preface

Cited by 3 publications

References 0 publications

The flash crash: a review

The flash crash: a review

On sparsity of eigenportfolios to reduce transaction cost

The Flash Crash: A Review

Contact Info

Product

Resources

About