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An agent-based market simulation is utilized to examine the impact of high frequency trading (HFT) on various aspects of the stock market. This study aims to provide a baseline understanding of the effect of HFT on markets by using a paradigm of zero-intelligence traders and examining the resulting structural changes.

A continuous double auction setting with zero-intelligence traders is used by adapting the model of Gode and Sunder (1993) to include algorithmic high frequency (HF) traders who retrade by marking up their shares by a fixed percentage. The simulation examines the effects of two independent factors, the number of HF traders and their markup percentage, on several dependent variables, principally volume, market efficiency, trader surplus and volatility. Results of the simulations are tested with two-way ANOVA and Tukey’s post hoc tests.

In the simulation results, trading volume, efficiency and total surplus vary directly with the number of traders employing HFT. Results also reveal that market volatility increased with the number of HF traders.

Increases in volume, efficiency and total surplus represent market improvements due to the trading activities of HF traders. However, the increase in volatility is worrisome, and some of the surplus increase appears to come at the expense of long-term-oriented investors. However, the relatively recent development of HFT and dearth of appropriate data make direct calibration of any model difficult.

The simulation study focuses on the structural impact of HF traders on several aspects of the simulated market, with the effects isolated from other noise and problems with empirical data. A baseline for comparison and suggestions for future research are established.

The purpose of this paper is to assess the US Securities and Exchange Commission’s new regulation, Limit Up–Limit Down (LULD), against the background of manipulative high-frequency trading (HFT).

This paper examines the background of HFT and related manipulative tactics by reviewing 43 articles of empirical research. It also examines areas in which LULD is effective and those in which LULD fails. The assessment of LULD is completed with a comparison between computerized regulation and legal enforcement in the contemporary reality of electronic trading platforms.

The paper points out the effectiveness of LULD in regulating wild price volatility as well as its insufficiency when facing orderly but fast price momentum ignited by manipulative HFT such as “spoofing”.

The findings may provide assistance to lawmakers and regulators to improve LULD regulation.

This paper is the first attempt to assess LULD regulation against a comprehensive background of manipulative HFT. The paper is of value to other researchers concerned about the instability to the equity market that manipulative HFT can create. The paper is also of interest to policymakers in designing effective regulation in the high-frequency era.

This paper aims to investigate the quickness, and test the accuracy, of liquidity taking high-frequency traders (HFT). This gives us important insights into a class of market participant who has come to be very influential in present markets.

The authors use the weekly natural gas (NG) storage report for the test because the information contained in the release often has a large effect on prices. Moreover, the NG market is heavily traded and liquid, and prone to high volatility. These factors make trading in this market attractive to HFT. The authors test for the profitability of those who trade in the first milliseconds after the report’s release; and for information leakage prior to the report.

The authors find those who trade within the first 50 ms accurately incorporate the information contained in the storage report into prices, and earn the majority of profits. In fact, HFT profits are decreasing in the time it takes them to trade after the announcement (measured to 200 ms). Further tests find no evidence of informed trading prior to the release of the report, and so the HFT reaction to the report incorporates the information contained therein into prices.

This is one of the few analyzes of the profitability of liquidity-taking HFT, and the only analysis that uses millisecond NG data. The data used is the exchanges original FIX/FAST messages.

This paper aims to investigate the need for active boundary conditions during fire testing of structural elements, review existing studies on hybrid fire testing (HFT), a technique that would ensure updating of boundary conditions during a fire test, and propose a compensation scheme to mitigate instabilities in the hybrid testing procedure.

The paper focuses on structural steel columns and starts with a detailed literature review of steel column fire tests in the past few decades with varying axial and rotational end restraints. The review is followed with new results from comparative numerical analyses of structural steel columns with various end constraints. HFT is then discussed as a potential solution to be adapted for fire testing of structural elements. Challenges in contemporary HFT procedures are discussed, and application of stiffness updating approaches is demonstrated.

The reviewed studies indicate that axial and rotational restraints at the boundaries considerably influence the fire response of steel columns. Equivalent static spring technique for simulating effect of surrounding frame on an isolated column behavior does not depict accurate buckling and post-buckling response. Additionally, numerical models that simulate fire performance of a column situated in a full-frame do follow the trends observed in actual test results up until failure occurs, but these simulations do not necessarily capture post-failure performance accurately. HFT can be used to capture proper boundary conditions during testing of isolated elements, as well as correct failure modes. However, existing studies showed cases with instabilities during HFT. This paper demonstrates that a different stiffness updates calculated from the force-displacement response history of test specimen at elevated temperature can be used to resolve stability issues.

The paper has two contributions: it suggests that the provision of active boundary conditions is needed in structural fire testing, as equivalent static spring does not necessarily capture the effect of surrounding frame on an isolated element during a fire test, and it shows that force-displacement response history of test specimen during HFT can be used in the form of a stiffness update to ensure test stability.

The purpose of this paper is to provide the current state of knowledge about the Flash Crash. It has been one of the remarkable events of the decade and its causes are still a matter of debate.

This paper reviews the literature since the early days to most recent findings, and critically compares the most important hypotheses about the possible causes of the crisis.

Among the causes of the Flash Crash, the literature has propsed the following: a large selling program triggering the sales wave, small but not negligible delays suffered by the exchange computers, the micro-structure of the financial markets, the price fall leading to margin cover and forced sales, some types of feedback loops leading to downward price spiral, stop-loss orders coupled with scarce liquidity that triggered price reduction. On its turn leading to further stop-loss activation, the use of Intermarket Sweep Orders, that is, orders that sacrificed search for the best price to speed of execution, and dumb algorithms.

The results of the previous section are condensed in a set of policy implications and recommendations.

The purpose of this paper is to propose a method for hybrid fire testing (HFT) which is unconditionally stable, ensures equilibrium and compatibility at the interface and captures the global behavior of the analyzed structure. HFT is a technique that allows assessing experimentally the fire performance of a structural element under real boundary conditions that capture the effect of the surrounding structure.

The paper starts with the analysis of the method used in the few previous HFT. Based on the analytical study of a simple one degree-of-freedom elastic system, it is shown that this previous method is fundamentally unstable in certain configurations that cannot be easily predicted in advance. Therefore, a new method is introduced to overcome the stability problem. The method is applied in a virtual hybrid test on a 2D reinforced concrete beam part of a moment-resisting frame.

It is shown through analytical developments and applicative examples that the stability of the method used in previous HFT depends on the stiffness ratio between the two substructures. The method is unstable when implemented in force control on a physical substructure that is less stiff than the surrounding structure. Conversely, the method is unstable when implemented in displacement control on a physical substructure stiffer than the remainder. In multi-degrees-of-freedom tests where the temperature will affect the stiffness of the elements, it is generally not possible to ensure continuous stability throughout the test using this former method. Therefore, a new method is proposed where the stability is not dependent on the stiffness ratio between the two substructures. Application of the new method in a virtual HFT proved to be stable, to ensure compatibility and equilibrium at the interface and to reproduce accurately the global structural behavior.

The paper provides a method to perform hybrid fire tests which overcomes the stability problem lying in the former method. The efficiency of the new method is demonstrated in a virtual HFT with three degrees-of-freedom at the interface, the next step being its implementation in a real (laboratory) hybrid test.

The purpose of this paper is to present an overview of the flash crash, and explain why and how it happened.

The author summarizes several studies suggesting various perspectives on the flash crash and its causes. Furthermore, the author highlights recently proposed and introduced improvements and regulations to reduce the risk of having similar market collapses in the future.

It is an overview paper that highlights the state of the art on the subject.

Paper does not report any research findings of the author.

High-frequency trading (HFT) along with its pros and cons is the new normal for most of the current electronic trading activity in the markets. It is well recognized by the experts that HFT may have its important shortcomings whenever the rules and regulations are not up to date to match the technological progress offering faster computational and execution capabilities.

HFT has created a societal discussion about its benefits and potential deficiencies as the common practice for trading due to potentially unequal access to market data by various categories of participants. Such arguments help the regulators to develop improvements to reduce the market risk and nurture more robust and fair markets for all.

The paper has a tutorial value and summarizes the current state of HFT. The readers of more interest are guided to the most relevant literature for further reading.

Given the critical role of user-generated content (UGC) in e-commerce, exploring various aspects of UGC can aid in understanding user purchase intention and commodity recommendation. Therefore, this study investigates the impact of UGC on purchase decisions and proposes new recommendation models based on sentiment analysis, which are verified in Douban, one of the most popular UGC websites in China.

After verifying the relationship between various factors and product sales, this study proposes two models, collaborative filtering recommendation model based on sentiment (SCF) and hidden factors topics recommendation model based on sentiment (SHFT), by combining traditional collaborative filtering model (CF) and hidden factors topics model (HFT) with sentiment analysis.

The results indicate that sentiment significantly influences purchase intention. Furthermore, the proposed sentiment-based recommendation models outperform traditional CF and HFT in terms of mean absolute error (MAE) and root mean square error (RMSE). Moreover, the two models yield different outcomes for various product categories, providing actionable insights for organizers to implement more precise recommendation strategies.

The findings of this study advocate the incorporation of UGC sentimental factors into websites to heighten recommendation accuracy. Additionally, different recommendation strategies can be employed for different products types.

This study introduces a novel perspective to the recommendation algorithm field. It not only validates the impact of UGC sentiment on purchase intention but also evaluates the proposed models with real-world data. The study provides valuable insights for managerial decision-making aimed at enhancing recommendation systems.

To alert high frequency trading firms to the increased regulation and prosecution of manipulative trading practices during 2014 and early 2015.

Reviews four significant proceedings against high frequency trading firms (and/or individuals employed by such firms) and other developments from the relevant government agencies as a possible preview of the enforcement and prosecution of high frequency trading practices in 2015. Provides advice to high frequency trading firms on how to decrease the risk of regulatory or criminal actions against them in this changing environment.

Although the focus on high frequency trading has only recently begun to intensify, firms should be aware of the increased enforcement activity of the past year. These actions, both regulatory and criminal, have already resulted in large penalties and have helped initiate a strengthening of rules and regulations regarding manipulative trading practices, of which firms need to be aware and stay current.

High frequency trading firms should be aware of the recent regulatory and criminal actions in order to better evaluate their own practices and controls, to ensure that their trading patterns do not resemble manipulative practices, and to avoid similar actions.

Practical guidance from experienced litigators and securities regulatory lawyers, including a former SEC Assistant Chief Litigation Counsel and a former federal prosecutor, that consolidates and describes several recent actions and developments in one piece.

This article explores how personalised technology could have the potential to change the behaviour of people with learning disabilities, enabling them to take more control of their lives and increase their independence. Hft investigates unforeseen outcomes in its work with people with learning disabilities and personalised technology and asks whether personalised technology could be used as a training tool?