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SUMMARY:Intraday ecology of electronic limit order market: empirical evide
 nce and multiscale modelling - Cont\, R (Imperial College London)
DTSTART:20131120T095000Z
DTEND:20131120T104000Z
UID:TALK48917@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:The advent of computerized trading is often associated with hi
 gher frequency of order arrivals and higher rate of trade executions. Howe
 ver\, empirical study of order flows submitted by market participants in e
 lectronic limit order markets shows a key feature of these market to be a 
 widening of spectrum of frequencies\, with a high heterogeneity of order a
 ctivity across participants. Based on empirical evidence from the S&P futu
 res markets\, we show that order flow of 'high-frequency' participants is 
 qualitatively different from that of low frequency ones\, both in terms of
  directionality\, inventory and their impact of the limit order book. In p
 articular\, there is evidence that a category of HFT\, while contributing 
 a major component of order volume\, may not necessarily increase market de
 pth.\n \nBased on this empirical evidence\, we argue that any model for ex
 amining the impact of HFT on market dynamics should allow for order flows 
 occurring at (widely) differing frequencies. We present such a stochastic 
 model\, which mimics the features observed in intraday data\, and show tha
 t the separation of frequencies leads to an asymptotic regime in which the
  evolution of the limit order book may be described by a simple stochastic
  equation.\n
LOCATION:Seminar Room 2\, Newton Institute Gatehouse
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