The Control Strategies for High Frequency Algorithmic Trading

Research output: Chapters, Conference Papers, Creative and Literary WorksRGC 32 - Refereed conference paper (with host publication)peer-review

3 Scopus Citations
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Detail(s)

Original languageEnglish
Title of host publication2018 IEEE 4th International Conference on Control Science and Systems Engineering (ICCSSE)
PublisherIEEE
Pages49-52
Number of pages4
ISBN (Electronic)978-1-5386-7887-9
Publication statusPublished - Aug 2018

Publication series

NameIEEE International Conference on Control Science and Systems Engineering (ICCSSE)
PublisherIEEE

Conference

Title2018 IEEE 4th International Conference on Control Science and Systems Engineering, ICCSSE 2018
LocationHuazhong University of Science and Technology
PlaceChina
CityWuhan
Period21 - 23 August 2018

Abstract

High Frequency Algorithmic Trading has developed rapidly in recent years as the disruptive information technology such as deep learning emerges. So, do the public concerns about the security and reliability of the algorithmic trading in stock markets as well. Taking advantage of the highly fluctuated trading data, the automated methods of trading have evolved accordingly. This article first reviews the existing literature on algorithmic trading, electronic trading, and high frequency trading. The most important underlying control strategy and mechanism of high frequency algorithmic trading is named 'market maker' in stock market. Accordingly, we analyze the fundamental characteristics and functions of market maker in trading and illustrate several control strategies in high frequency algorithmic trading. Our work open the door for the design of sophisticated automated control strategies for financial markets, which are fundamentally different from those for traditional physical systems such as air traffic control system.

Research Area(s)

  • algorithmic trading, control strategy, finanical market, high frequency trading

Citation Format(s)

The Control Strategies for High Frequency Algorithmic Trading. / Jia, Xinying; Keung Lau, Raymond Yiu.
2018 IEEE 4th International Conference on Control Science and Systems Engineering (ICCSSE). IEEE, 2018. p. 49-52 8724810 (IEEE International Conference on Control Science and Systems Engineering (ICCSSE)).

Research output: Chapters, Conference Papers, Creative and Literary WorksRGC 32 - Refereed conference paper (with host publication)peer-review