Index
Abergel, Frédéric
ABEs see adaptive Bayesian type estimators
AC 2000
active/passive sides in transactions, definitions
adaptive Bayesian type estimators (ABEs)
adaptive complex systems
adaptive random symbol, concepts
ADBE, NASDAQ limit order flows
adverse selection costs
see also asymmetric information
AEX
Agency Algorithms (AA)
agent-based models
aggressive limit orders
algorithmic trading
see also high-frequency traders; optimal trading strategies
adverse selection costs
concepts
conclusions
costs and benefits
crash of May 6 2010
critique
definitions
efficient markets
empirical evidence
historical background
introductory background
issues
liquidity considerations
market structures
messages traffic
performance analysis
price discovery
pricing errors
risk sources
scope and profitability
search costs
statistics
stress tests
systemic risk
trading strategies
typology
volatilities
welfare effects
Almgren–Chriss formulation
alpha
see also capital asset pricing model; short-term …
alternative trading systems (ATSs)
anticipative random symbol
arbitrageurs
see also Proprietary Algorithms; speculation; statistical …
hidden-order arbitrage theory
high-frequency correlations results
statistics
ARCH
Arrow, Kenneth
asset classes
asset management
asymmetric information
see also adverse selection costs
definition
asymptotic expansions
see also quasi likelihood analysis
at the market postings
ATD
ATSs see alternative trading systems
autocorrelation
Autoquote software, NYSE
‘average limit ...
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