Investment in high-frequency trading technology: a real options approach
DOI10.1016/J.EJOR.2018.03.025zbMATH Open1403.91386OpenAlexW2790317632MaRDI QIDQ1754760FDOQ1754760
Authors: Laura Delaney 
Publication date: 31 May 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/19292/1/HFT%202018.pdf
Recommendations
- The high frequency trade off between speed and sophistication
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- OR forum: The cost of latency in high-frequency trading
Statistical methods; risk measures (91G70) Corporate finance (dividends, real options, etc.) (91G50) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)
Cites Work
- A decision-making tool for project investments based on real options: the case of wind power generation
- Optimal exercise of jointly held real options: a Nash bargaining approach with value diversion
- The impact of voluntary disclosure on a firm's investment policy
- The high-frequency trading arms race: frequent batch auctions as a market design response
Cited In (11)
- On detecting spoofing strategies in high-frequency trading
- Machine learning and speed in high-frequency trading
- The high frequency trade off between speed and sophistication
- A real options approach for entering the Internet securities trading businesses with start‐up time
- Individual antecedents of real options appraisal: the role of national culture and ambiguity
- Analysis of the investment behavior and optimal trading policy of strategic allotment shareholders
- Taming impulsive high-frequency data using optimal sampling periods
- A dysfunctional role of high frequency trading in electronic markets
- Absolute vs. relative speed in high-frequency trading
- Safe marginal time of crude oil price via escape problem of econophysics
- Low-latency liquidity inefficiency strategies
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