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Using a Market Simulator to Develop High-Frequency Execution Algorithms

Almgren, R (New York University)
Tuesday 19 November 2013, 14:00-14:50

Seminar Room 2, Newton Institute Gatehouse


A market simulator is an essential tool for the development of high-frequency trading strategies. We will discuss the principles of constructing a simulator for interest rates futures products, taking account of the special features of these markets such as pro rata matching, implied liquidity, and pricing signals. Comparison with actual trade executions lets us do a quantitative assessment of the validity of the simulator.

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