By Zhaodong Wang
This publication is the 1st of its type to regard high-frequency buying and selling and technical research as exact sciences. The authors demonstrate tips on how to construct buying and selling algorithms of high-frequency buying and selling and acquire strong statistical arbitrage from the monetary industry intimately. The authors' arguments are in accordance with rigorous mathematical and statistical deductions and this can entice those that think within the theoretical element of the subject.
traders who think in technical research will tips to be sure the potency in their technical arguments by way of ergodic thought of desk bound stochastic methods, which shape a mathematical historical past for technical research. The authors additionally talk about technical info of the IT process layout for high-frequency buying and selling.
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Additional resources for High-Frequency Trading and Probability Theory
Sample text
There is another kind of special force close in SHFE, called non-multiple force close. Some products in SHFE have larger lot sizes in delivery than in trade. For example, a lot of copper is 5 tons in trading, but 25 tons in delivery. Therefore, it is required by SHFE that clients should keep their copper positions in a multiple of 5 when the contract is close to expiration. If not, SHFE will force close the remainder of the client’s position. There is another very special risk control rule in China, which is called the close by rule.
7 Differences with Western Market This section gives a brief list comparing the differences between Chinese futures markets and the Western markets. Western Market Instrument Symbol Chinese Market Including product symbol, 1 or Normally including product 2 digits for year, and 2 digits for symbol, a letter representing month. month and 1 or 2 digits for year. (Continued) August 14, 2014 10:16 High-Frequency Trading and Probability Theory - 9in x 6in 36 b1829-ch02 High-Frequency Trading and Probability Theory (Continued) Western Market Chinese Market Position Management Using net position for clients.
Considering that they opened at the price of 50,000, and closed at 50,100, the total result of the Mark to Market rule is just the same as calculating the difference between open and close price. All instruments of futures should use the Mark to Market rule in everyday clearing, so that the counterparty risk for a long-term forward contract will be split on a daily basis. No one will suffer from a large price movement because the counterparty will not be willing to execute the contract. When the large price movement has been split into many smaller price movements and spread over multiple days, the counterparty will not have a very large loss on one day, and in most cases, they will keep the contract.