University of Cambridge > Talks.cam > Isaac Newton Institute Seminar Series > Using a Market Simulator to Develop High-Frequency Execution Algorithms

Using a Market Simulator to Develop High-Frequency Execution Algorithms

Add to your list(s) Download to your calendar using vCal

If you have a question about this talk, please contact Mustapha Amrani.

Institute distinguished event

A market simulator is an essential tool for the development of high-frequency trading strategies. We will discuss the principles of constructing a simulator for interest rates futures products, taking account of the special features of these markets such as pro rata matching, implied liquidity, and pricing signals. Comparison with actual trade executions lets us do a quantitative assessment of the validity of the simulator.

This talk is part of the Isaac Newton Institute Seminar Series series.

Tell a friend about this talk:

This talk is included in these lists:

Note that ex-directory lists are not shown.

 

© 2006-2024 Talks.cam, University of Cambridge. Contact Us | Help and Documentation | Privacy and Publicity