Calendar

Juin
15
jeu
Research Seminar, FinTech – High-frequency trading: modelling and regulatory issues with, Dr.Viktor Manahov
Juin 15 @ 17 h 00 min – 19 h 00 min

Dear friends and colleagues,

we are pleased to invite you to a new session of the LabEx ReFi Seminar on « High-frequency trading: modelling and regulatory issues ».

Organizer

 Dominique Guégan, University of Paris 1 (Bio & CV)

Date: june 15, 2017 Time: 17h-19h.

Place: Maison des Sciences Economiques,

106 Bd de l’Hôpital, 75013 Paris

Room 115, (1st floor)

Dr.Viktor Manahov,

The University of York, UK

CV & Bio (here)

Front-Running Scalping Strategies and Market Manipulation.

Why Does High-Frequency Trading Need Stricter Regulation?

Abstract: The regulors  continue to debate whether high-frequency trading (HFT) is beneficial to market quality. Using Strongly Typed Genetic Programming (STGP) trading algorithm, we develop several artificial stock markets populated with HFT scalpers and strategic informed traders. We simulate real-life trading in the millisecond timeframe by applying STGP to real-time and historical data from Apple, Exxon Mobil, and Google. We observe that HFT scalpers front-run the order flow, resulting in damage to market quality and long-term investors. To mitigate these negative implications, we propose batch auctions every 30 milliseconds of trading.

High Frequency Trading Seminar 

The « High-Frequency Trading: Modelling and Regulatory Issues » seminar is a monthly seminar created and organized by Pr. Roland Gillet (Paris 1), Pr. Olivier Guéant (Paris 1), and Pr. Dominique Guégan (Paris 1). The objective of the seminar is to introduce and develop discussions about high-frequency trading. We are interested in promoting discussions between researchers and practitioners, and about banking regulation and supervision. An important part will be dedicated to modeling and technical issues. This seminar is dedicated to junior and senior researchers, practitioners from banks and other financial institutions, as well as regulators.

Organizer: Pr. Dominique Guégan, University of Paris 1 (Bio & CV)

(Learn more here)

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