The Effects of Technology Driven Information Categories on Performance In Electronic Trading Markets

Jim Samuel; Richard Holowczak; Alex Pelaez

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The Effects of Technology Driven Information Categories on Performance In Electronic Trading Markets

机译：技术驱动的信息类别对电子交易市场绩效的影响

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Electronic trading markets have evolved rapidly with continued adoption of new technologies and growing infor-mation acquisition and processing capabilities. Traditional perspectives on trading performance adopted a monolithic view ofinformation. Past research and practitioner heuristics posit that adopting new technologies and incorporating more infor-mation should increase price efficiency and trading performance uniformity. However, along with technological change, in-formation dynamics have evolved significantly resulting in immense growth in data volumes, and increased complexity ofinformation categories. The present research explores behavioral trading performance under varying information categoryconditions and argues that unfettered technological developments and information consumption will not necessarily lead toconsistent improvement in uniformity of trading performance.

机译：随着不断采用新技术以及不断增长的信息获取和处理能力，电子交易市场发展迅速。传统的交易绩效观点采用了单一的信息观点。过去的研究和从业人员启发式分析认为，采用新技术并融入更多信息，应该可以提高价格效率和交易绩效的一致性。但是，随着技术的变化，信息动态已经发生了显着变化，导致数据量的巨大增长以及信息类别的复杂性增加。本研究探讨了在各种信息类别条件下的行为交易绩效，并认为不受限制的技术发展和信息消耗不一定会导致交易绩效一致性的持续改善。

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《Journal of Information Technology Management》 |2017年第2期|共14页
作者
Jim Samuel; Richard Holowczak; Alex Pelaez;
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中图分类计算技术、计算机技术;
关键词
Electronic marketsinformation categoriesperformanceinformation managementtechnologytradingpublicprivateeconomic experimenttrading behaviorequity market simulationartificial stock market;

机译：电子市场信息类别绩效信息管理技术交易公共私营经济实验交易行为股权市场模拟人工股票市场;

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1. The Effects of Technology Driven Information Categories on Performance In Electronic Trading Markets [J] . Jim Samuel, Richard Holowczak, Alex Pelaez Journal of Information Technology Management . 2017,第1a2期

机译：技术驱动的信息类别对电子交易市场绩效的影响
2. Intraday market effects in electronic soybean futures market during non-trading and trading hour announcements [J] . Joseph Kishore, Garcia Philip Applied Economics . 2018,第10a12期

机译：非交易时段和交易时段公告中电子大豆期货市场的盘中市场影响
3. South-South Trade in Capital Goods - The Market-Driven Diffusion of Appropriate Technology [J] . Hanlin Rebecca, Kaplinsky Raphael The European journal of development research . 2016,第3期

机译：南南资本货物贸易-适当技术的市场驱动扩散
4. Electronic trading in order-driven markets: efficient execution [C] . Nevmyvaka Y., Kearns M., Papandreou M., E-Commerce Technology, 2005. CEC 2005. Seventh IEEE International Conference on . 2005

机译：订单驱动市场中的电子交易：高效执行
5. Information technology and securities markets: Feasibility and desirability of alternative electronic trading systems [D] . Weber, Bruce William 1991

机译：信息技术和证券市场：替代电子交易系统的可行性和可取性
6. Performance of technical trading rules: evidence from Southeast Asian stock markets [O] . Piyapas Tharavanij, Vasan Siraprapasiri, Kittichai Rajchamaha -1

机译：技术交易规则的执行：来自东南亚股票市场的证据
7. We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can cause drastic market reactions (“market impact”) in the end leading to higher transaction costs. On the other hand the Iceberg trader faces a loss-in-priority when he hides his intentions, as most electronic limit order books penalize the usage of hidden liquidity. Thus the Iceberg-trader is faced with the problem to find the right trade-off. Our model provides optimal exposure strategies for Iceberg traders in limit order book markets. In particular, we provide a range of analytical statements that are in line with recent empirical findings on the determinants of trader’s exposure strategies. In this framework, we also study the market impact also market impact of limit orders. We provide optimal exposure profiles for a range of hightech stocks from the US SP500 and how they scale with the state-of-the-book. We finally test the Iceberg’s performance against the limit orders and find that Iceberg orders can significantly enhance trade performance by up to 60. [O] . Gökhan Cebiro˜glu, Ulrich Horst 100

机译：我们在限价订单簿中开发了冰山订单执行的顺序交易模型。 Iceberg-trader可以自由地揭露他的交易意图，或者（部分）屏蔽其他市场参与者的真实订单规模。订单暴露最终会导致市场反应激烈（“市场影响”），导致交易成本上升。另一方面，冰山交易员在隐藏他的意图时面临优先权损失，因为大多数电子限价订单都会惩罚隐藏流动性的使用。因此，冰山商人面临着找到正确权衡的问题。我们的模型为限额订单市场中的冰山交易者提供了最佳的风险敞口策略。特别是，我们提供了一系列分析性陈述，这些陈述与最近关于交易者暴露策略决定因素的实证研究结果一致。在此框架下，我们还研究了市场影响以及限价订单的市场影响。我们为来自美国标准普尔500指数的一系列高科技股票提供最佳曝光配置文件，以及它们如何随着本书的规模扩展。我们最终根据极限订单测试了冰山的表现，发现冰山订单可以显着提升贸易业绩高达60％。

The Effects of Technology Driven Information Categories on Performance In Electronic Trading Markets

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