Multi-scale capability: a better approach to performance measurement for algorithmic trading

DOI10.3233/AF-150043MaRDI QIDQ4586446zbMATH OpenFDO

Authors Ricky Cooper, M. K. Ong, Ben van Vliet

Publication date 13 September 2018

Published in Algorithmic Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3233/AF-150043

zbMATH Keywords

algorithmic tradingprudencerisk-adjusted performance measureterm structure of capability

Mathematics Subject Classification ID

Portfolio theory (91G10) Numerical methods (including Monte Carlo methods) (91G60)

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• High frequency trading strategies, market fragility and price spikes: an agent based model perspective
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