Trading system capability

Kumiega, Andrew; Neururer, Thaddeus; Vliet, Ben Van

doi:10.1080/14697688.2013.787492

Cited by 23 publications

(11 citation statements)

References 16 publications

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“…SPC is a method of quality control which uses statistical methods in order to monitor and control a process. SPC should be of particular interest to the financial services industry, especially when daily numbers of transactions are high (see Bilson et al 2010, Cooper and Van Vliet 2012, Kumiega et al 2014. Such environments include, for example, a check processing environment in a retail bank (a large bank, typically, processes millions of checks daily), or a credit card operation (such an operation also processes millions of transactions a day), or a trading desk in an investment bank (a Foreign Exchange desk at any major investment bank may process tens of thousands of trades a day).…”

Section: Process Controlmentioning

confidence: 99%

Operational Risk in Financial Services: A Review and New Research Opportunities

Mei

2017

Production and Operations Management

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We present a framework to describe and analyze operational risk in financial services from an operations management perspective, focusing in particular on process design, process management, and human behavior aspects. The financial services industry differs from other service industries in ways that affect the nature of the operational risks it is subject to. In recent decades, many books and papers have focused on operational risk in financial services; however, this literature has focused mainly on the conceptual and statistical aspects of operational risk management and not on its operational aspects. Operational risk in financial services has not received much attention from the operations management community. The framework presented here is based on the premise that operational risk in financial services can reap significant benefits from research done in the theory and practice of operations management in manufacturing industries as well as in other services industries. The objective of this study is to propose particular challenges and questions raised in the practice of operational risk management that may stimulate future research in this particular area of operations management.

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Section: Process Controlmentioning

confidence: 99%

Operational Risk in Financial Services: A Review and New Research Opportunities

Mei

2017

Production and Operations Management

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“…They seek to compete by operating strategies that consistently make profits. Recent papers (Kumiega et al, 2014;Cooper et al, 2015) establish the criterion for HFT firms to remain viable and called this ''multi-scale capability.'' In essence, a trading firm that is multi-scale capable can ''almost always'' cover its average costs with average profits, including infrastructure costs, over an acceptable period.…”

Section: The Language Of Price Discoverymentioning

confidence: 99%

High-Frequency Trading and Conflict in the Financial Markets

Cooper

Seddon

Vliet

2017

Journal of Information Technology

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International audienceThe last few decades has seen an ever-increasing growth in the way activities are productized and associated with a financial cost. This phenomenon, termed financialization, spans all areas including government, finance, health and manufacturing. Recent developments within finance over that past decade have radically altered the way trading occurs. This paper analyses high-frequency trading (HFT) as a necessary component of the infrastructure that makes financialization possible. Through interviews with HFT firms, a software vendor, regulators and banks, the effects of HFT on market efficiency, and its impact on costs to long-term investors are explored. This paper contributes to the literature by exploring the conflict that exists between HFT and traditional market makers in today’s fragmented markets. This paper argues that society should be unconcerned with this conflict and should instead focus on the effects these participants have on the long-term investors, for whom the markets ultimately exist. In order to facilitate the best outcomes, regulation should be simple, aimed at keeping participants’ behavior stable, and the interactions among them transparent and straightforward. Financialization and HFT are inextricably linked, and society is best served by ensuring that the creative energy of these market participants is directed on providing liquidity and removing inefficiencies

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“…It requires that an algorithmic trading strategy satisfy three criteria:The strategy must operate in statistical control at all times with respect to its critical characteristics 9 , and have in place real-time monitoring to ensure containment of the trading strategy in the event it operates outside of expectations (see Cooper and Van Vliet 2012, 57).The strategy must have acceptable loss behavior (i.e. reasonable risk).The strategy must be able consistently to generate sufficient revenue in excess of its costs with acceptable certainty over a period of time acceptable to the investors being served 10 (see also Kumiega, Neururer, and Van Vliet 2014). …”

Section: Establishing What’s Fair and Unfair In High-frequency Tradingmentioning

confidence: 99%

“…The strategy must be able consistently to generate sufficient revenue in excess of its costs with acceptable certainty over a period of time acceptable to the investors being served 10 (see also Kumiega, Neururer, and Van Vliet 2014).…”

Section: Establishing What’s Fair and Unfair In High-frequency Tradingmentioning

confidence: 99%

The Mysterious Ethics of High-Frequency Trading

2016

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ABSTRACT:The ethics of high frequency trading are obscure, due in part to the complexity of the practice. This article contributes to the existing literature of ethics in financial markets by examining a recent trend in regulation in high frequency trading, the prohibition of deception. We argue that in the financial markets almost any regulation, other than the most basic, tends to create a moral hazard and increase information asymmetry. Since the market’s job is, at least in part, price discovery, we argue that simplicity of regulation and restraint in regulation are virtues to a greater extent than in other areas of finance. This article proposes criteria for determining which high-frequency trading strategies should be regulated.

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Trading system capability

Cited by 23 publications

References 16 publications

Operational Risk in Financial Services: A Review and New Research Opportunities

Operational Risk in Financial Services: A Review and New Research Opportunities

High-Frequency Trading and Conflict in the Financial Markets

The Mysterious Ethics of High-Frequency Trading

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