Investment in high-frequency trading technology: a real options approach

DOI10.1016/J.EJOR.2018.03.025MaRDI QIDQ1754760zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

financefragmented marketshigh frequency tradingreal options

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Corporate finance (dividends, real options, etc.) (91G50) Statistical methods; risk measures (91G70) Financial applications of other theories (91G80)

Recommendations

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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 high-frequency trading arms race: frequent batch auctions as a market design response
• The impact of voluntary disclosure on a firm's investment policy

Cited in

(11)

• Safe marginal time of crude oil price via escape problem of econophysics
• Machine learning and speed in high-frequency trading
• Individual antecedents of real options appraisal: the role of national culture and ambiguity
• The high frequency trade off between speed and sophistication
• A dysfunctional role of high frequency trading in electronic markets
• Analysis of the investment behavior and optimal trading policy of strategic allotment shareholders
• Low-latency liquidity inefficiency strategies
• A real options approach for entering the Internet securities trading businesses with start‐up time
• On detecting spoofing strategies in high-frequency trading
• Absolute vs. relative speed in high-frequency trading
• Taming impulsive high-frequency data using optimal sampling periods

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