Systematic finance: Essays on ethics, methodology and quality control in high frequency trading.

摘要

A firm is in a state of strategic competitiveness if it has a plan that it rationally and responsibly believes is capable of success. In the age of automation, what justifies a trading firm's belief in its strategic competitiveness has changed. Rational and responsible belief in the capability of the firm's trading strategies can be justified by a prudent process that defines conditions for both initial and sustained belief. The process of developing trading systems is itself systematic and a source of competitive advantage. In this thesis, I present three chapters that address strategic competitiveness in automated trading---ethics, methodology and quality control. These chapters examine responsibility, and develop processes for both initial and sustained belief in the competitiveness of trading systems and the trading firm.