System trading: tale of two traders

YESENIA SALCEDO

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System trading: tale of two traders

机译：系统交易：两个交易者的故事

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During our series on automated trading systems, we've compared and contrasted buying an off the shelf system with building and testing your own trading system. In this final part of the series, we'll compare the experiences of two traders who chose different trading system paths.

机译：在有关自动交易系统的系列文章中，我们将购买现成的系统与构建和测试自己的交易系统进行了比较和对比。在本系列的最后一部分，我们将比较两个选择不同交易系统路径的交易者的经验。

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《Futures 》 |2007年第7期| p.60-61| 共2页
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YESENIA SALCEDO;
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正文语种 eng
中图分类财政、金融 ;
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1. Trader see, trader do: How do (small) FX traders react to large counterparties' trades? [J] . Lukas Menkhoff, Maik Schmeling Journal of International Money and Finance . 2010 ,第7期

机译：交易者看到，交易者这样做：（小型）外汇交易者对大型交易对手的交易有何反应？
2. Market fragmentation and market consolidation: Multiple steady states in systems of adaptive traders choosing where to trade [J] . Aleksandra Alori?, Peter Sollich Physical review, E . 2019 ,第6aPta1期

机译：市场碎片和市场合并：在适应交易商系统中选择交易的多个稳定状态
3. Systemic Regulation of Global Trade and Finance: A Tale of Two Systems [J] . R. Michael Gadbaw Journal of International Economic Law . 2010 ,第3期

机译：全球贸易和金融的系统监管：两个系统的故事
4. Performance evaluation of trading strategies in multi-agent systems - Case of A-Trader [C] . Jerzy Korczak, Marcin Hernes Federated Conference on Computer Science and Information Systems . 2018

机译：多代理系统交易策略的绩效评估 - 贸易商的情况
5. Applying Supervised Machine Learning Models to Classify Day Traders Using the Traders' Daily Trading Activity Data and the U.S. Stock Market Indices Data [D] . Sharara, Nasser Ateya 2018

机译：应用监督机器学习模型以使用交易者的每日交易活动数据和美国股票市场指数数据对日间交易者进行分类
6. Do algorithm traders mitigate insider trading profits?: Evidence from the Thai stock market [O] . Nopparat Wongsinhirun, Pattanaporn Chatjuthamard, Sirimon Treepongkaruna, 2021

机译：算法交易商减轻内幕交易利润吗？：来自泰国股市的证据
7. We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can cause drastic market reactions (“market impact”) in the end leading to higher transaction costs. On the other hand the Iceberg trader faces a loss-in-priority when he hides his intentions, as most electronic limit order books penalize the usage of hidden liquidity. Thus the Iceberg-trader is faced with the problem to find the right trade-off. Our model provides optimal exposure strategies for Iceberg traders in limit order book markets. In particular, we provide a range of analytical statements that are in line with recent empirical findings on the determinants of trader’s exposure strategies. In this framework, we also study the market impact also market impact of limit orders. We provide optimal exposure profiles for a range of hightech stocks from the US SP500 and how they scale with the state-of-the-book. We finally test the Iceberg’s performance against the limit orders and find that Iceberg orders can significantly enhance trade performance by up to 60. [O] . Gökhan Cebiro˜glu, Ulrich Horst 100

机译：我们在限价订单簿中开发了冰山订单执行的顺序交易模型。 Iceberg-trader可以自由地揭露他的交易意图，或者（部分）屏蔽其他市场参与者的真实订单规模。订单暴露最终会导致市场反应激烈（“市场影响”），导致交易成本上升。另一方面，冰山交易员在隐藏他的意图时面临优先权损失，因为大多数电子限价订单都会惩罚隐藏流动性的使用。因此，冰山商人面临着找到正确权衡的问题。我们的模型为限额订单市场中的冰山交易者提供了最佳的风险敞口策略。特别是，我们提供了一系列分析性陈述，这些陈述与最近关于交易者暴露策略决定因素的实证研究结果一致。在此框架下，我们还研究了市场影响以及限价订单的市场影响。我们为来自美国标准普尔500指数的一系列高科技股票提供最佳曝光配置文件，以及它们如何随着本书的规模扩展。我们最终根据极限订单测试了冰山的表现，发现冰山订单可以显着提升贸易业绩高达60％。

System trading: tale of two traders

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