The Community for Technology Leaders
RSS Icon
Issue No.11 - November (2011 vol.44)
pp: 61-69
Giuseppe Nuti , UK Centre in Financial Computing, London
Philip Treleaven , UK Centre in Financial Computing, London
Chaiyakorn Yingsaeree , UK Centre in Financial Computing, London
In electronic financial markets, algorithmic trading refers to the use of computer programs to automate one or more stages of the trading process: pretrade analysis (data analysis), trading signal generation (buy and sell recommendations), and trade execution. Trade execution is further divided into agency/broker execution (when a system optimizes the execution of a trade on behalf of a client) and principal/proprietary trading (where an institution trades on its own account). Each stage of this trading process can be conducted by humans, by humans and algorithms, or fully by algorithms.
Algorithmic trading, Black-box trading, Electronic trading, Smart order routing
Giuseppe Nuti, Philip Treleaven, Chaiyakorn Yingsaeree, "Algorithmic Trading", Computer, vol.44, no. 11, pp. 61-69, November 2011, doi:10.1109/MC.2011.31
1. A. Chaboud et al., "Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market," Int'l Finance Discussion Papers, Board of Governors of the Federal Reserve System, Oct. 2009; ifdp980.pdf.
2. T. Hendershott, C.M. Jones, and A.J. Menkveld, "Does Algorithmic Trading Improve Liquidity?" J. Finance, Feb. 2011, pp. 1-33.
3. R.K. Narang, Inside the Black Box: The Simple Truth About Quantitative Trading, Wiley Finance, 2009.
4. Report of the Staffs of the CFTC and SEC to the Joint Advisory Committee on Emerging Regulatory Issues, "Findings Regarding the Market Events of May 6, 2010"; .
5. M.H. Pesaran, "Predictability of Asset Returns and the Efficient Market Hypothesis," A. Ullah, and D.E. Giles eds., , Handbook of Empirical Economics and Finance, Taylor & Francis, 2010, pp. 281-312.
6. M.A. Kaboudan, "Genetic Programming Prediction of Stock Prices," J. Computational Economics, Dec. 2000, pp. 207-236.
7. J.M. Hill, "Alpha as a Net Zero-Sum Game," J. Portfolio Management, vol. 32, no. 4, 2006, pp. 24-32.
8. R. Kissell and R. Malamut, "Algorithm Decision Making Framework," J. Trading, vol. 1, no. 1, 2006, p. 10.
34 ms
(Ver 2.0)

Marketing Automation Platform Marketing Automation Tool