The Control Strategies for High Frequency Algorithmic Trading

Xinying Jia; Raymond Yiu Keung Lau

doi:10.1109/CCSSE.2018.8724810

The Control Strategies for High Frequency Algorithmic Trading

Xinying Jia
, Raymond Yiu Keung Lau

Department of Information Systems

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

4 Citations (Scopus)

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.

Original language	English
Title of host publication	2018 IEEE 4th International Conference on Control Science and Systems Engineering (ICCSSE)
Publisher	IEEE
Pages	49-52
Number of pages	4
ISBN (Electronic)	978-1-5386-7887-9
DOIs	https://doi.org/10.1109/CCSSE.2018.8724810
Publication status	Published - Aug 2018
Event	2018 IEEE 4th International Conference on Control Science and Systems Engineering, ICCSSE 2018 - Huazhong University of Science and Technology, Wuhan, China Duration: 21 Aug 2018 → 23 Aug 2018 http://www.iccsse.com/2018.html

Publication series

Name	IEEE International Conference on Control Science and Systems Engineering (ICCSSE)
Publisher	IEEE

Conference

Conference	2018 IEEE 4th International Conference on Control Science and Systems Engineering, ICCSSE 2018
Place	China
City	Wuhan
Period	21/08/18 → 23/08/18
Internet address	http://www.iccsse.com/2018.html

Research Keywords

algorithmic trading
control strategy
finanical market
high frequency trading

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10.1109/CCSSE.2018.8724810

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title = "The Control Strategies for High Frequency Algorithmic Trading",

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.",

keywords = "algorithmic trading, control strategy, finanical market, high frequency trading",

author = "Xinying Jia and \{Keung Lau\}, \{Raymond Yiu\}",

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booktitle = "2018 IEEE 4th International Conference on Control Science and Systems Engineering (ICCSSE)",

address = "United States",

note = "2018 IEEE 4th International Conference on Control Science and Systems Engineering, ICCSSE 2018 ; Conference date: 21-08-2018 Through 23-08-2018",

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Jia, X & Keung Lau, RY 2018, The Control Strategies for High Frequency Algorithmic Trading. in 2018 IEEE 4th International Conference on Control Science and Systems Engineering (ICCSSE)., 8724810, IEEE International Conference on Control Science and Systems Engineering (ICCSSE), IEEE, pp. 49-52, 2018 IEEE 4th International Conference on Control Science and Systems Engineering, ICCSSE 2018, Wuhan, China, 21/08/18. https://doi.org/10.1109/CCSSE.2018.8724810

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 Works › RGC 32 - Refereed conference paper (with host publication) › peer-review

TY - GEN

T1 - The Control Strategies for High Frequency Algorithmic Trading

AU - Jia, Xinying

AU - Keung Lau, Raymond Yiu

PY - 2018/8

Y1 - 2018/8

N2 - 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.

AB - 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.

KW - algorithmic trading

KW - control strategy

KW - finanical market

KW - high frequency trading

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U2 - 10.1109/CCSSE.2018.8724810

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M3 - RGC 32 - Refereed conference paper (with host publication)

T3 - IEEE International Conference on Control Science and Systems Engineering (ICCSSE)

SP - 49

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BT - 2018 IEEE 4th International Conference on Control Science and Systems Engineering (ICCSSE)

PB - IEEE

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Y2 - 21 August 2018 through 23 August 2018

ER -

The Control Strategies for High Frequency Algorithmic Trading

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