gamma01 HFT delta hedge

来源: marketreflections 于 2011-08-18 18:03:44 [] [博客] [旧帖] [给我悄悄话] 本文已被阅读： 次 (14045 bytes)

  • HFT and the Hunt for Alpha- WatersTechnology.com
    www.waterstechnology.com/waters/feature/2098496/hft-hunt-alpha - Cached 
    Aug 1, 2011 – Misra says that platforms such as Vega-Chi can be used by HFT firms to perform a delta hedge on a convertible bond issues. ...

  • Algorithmic trading - Wikipedia, the free encyclopedia
    en.wikipedia.org/wiki/Algorithmic_trading - CachedSimilar
    A special class of algorithmic trading is "high-frequency trading" (HFT), ... estimated that the 300 securities firms and hedge funds that specialize in this type ... 2.1 Trend Following; 2.2 Pair Trading; 2.3 Delta Neutral Strategies ...

  • Zero Hedge: Market Preparing For Some Crazy Action
    zerohedge.blogspot.com/.../market-preparing-for-some-crazy-action... - Cached 
    Jul 16, 2009 – With HFT taking away most of the market liquidity, could delta hedging be the primary culprit for the inexplicably stupid market move over ...

  • All About High-Frequency Trading - Google Books Result

    books.google.com/books?i*****n=0071743448...Michael Durbin - 2010 - Business & Economics - 240 pages
    Other than delta-hedging, which attempts to counterbalance the effect of an option ... Fuse Box Our HFT system, at any moment in time during trading hours, ...

  • Weak equity volume leads to more HFT elsewhere - FierceFinanceIT
    www.fiercefinanceit.com/story/weak-equity...hft.../2011-08-06 - Cached 
    Aug 6, 2011 – Weak equity volume leads to more HFT elsewhere ... then delta hedge that position by short selling the underlying cash equity as well. ...

  • HFT And System Stability
    www.dailymarkets.com › Stock Market - Cached 
    Feb 2, 2011 – For the newbies, see this video for a primer on HFT. ... recall how dynamic delta-hedging/portfolio insurance strategies contributed to the ...

  • Goldman Sachs offers auto-hedging for US options | The Trade News
    www.thetradenews.com/asset-classes/derivatives/6397 - Cached 
    Jun 27, 2011 – GSET's Delta Hedging automatically hedges US-listed options smart order types based on ... Market plays down role of HFT during volatility ...

  • The Out-of-Control Explosion Of Equity Quote Rates Or Why Any And ...
    www.zerohedge.com/.../out-control-explosion-equity-quote-rates-or... - Cached 
    23 hours ago – You see, as HFT races towards zero, the data it generates decays just as fast. ..... There are only a finite of delta hedge, stat arb, ...

  • hedging - Where to find Greeks for futures to form delta-hedged ...
    quant.stackexchange.com/.../where-to-find-greeks-for-futures-to-for... - Cached 
    In the meantime, I am trying to form so these delta=hedged portfolios "manually" . ... Best broker for HFT · Need advice on finding forward spot rates ...

  • The Future of Algorithmic Trading – New Assets, Techniques and ...
    www.highfrequencytraders.com/.../future-algorithmic-trading-new-... - Cached 
    Jan 24, 2011 – ... of arbitrage opportunities or delta hedge their positions. ... by markets such as ICE have opened it up to HFT in energy futures. ...
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