Attack of the Traders

RODERICK JONES

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Attack of the Traders

机译：商人的攻击

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Roderick Jones is CEO of Concentric Solutions International, a San Francisco-based security risk management company. The recent release of the long-awaited government report on the May 6 "flash crash" highlighted one specific trade as the catalyst for a series of chain reactions, accelerated by computer algorithms, that whipsawed the market. While the report goes a long way toward explaining the events of that afternoon, it doesn't begin to address the systemic weaknesses of the market, highlighted by the nearly 600-point drop in the Dow Jones industrial average in a matter of minutes - and the Dow's even faster recovery.

机译：Roderick Jones是总部位于旧金山的安全风险管理公司Concentric Solutions International的首席执行官。期待已久的5月6日“闪电崩盘”政府报告的最新发布突显了一项特定的交易，它是一系列连锁反应的催化剂，这些连锁反应在计算机算法的推动下引起了市场的轰动。尽管该报告在解释当天下午的事件上有很长的路要走，但它并没有开始解决市场的系统性弱点，道琼斯工业平均指数在几分钟内下跌了近600点，突显了这一点。陶氏的恢复速度更快。

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《Institutional investor》 |2010年第9期|p.89|共1页
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RODERICK JONES;
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机译：跨越多个市场的人类贸易商：在经济实验下吸引边际交易商
5. Applying Supervised Machine Learning Models to Classify Day Traders Using the Traders' Daily Trading Activity Data and the U.S. Stock Market Indices Data [D] . Sharara, Nasser Ateya 2018

机译：应用监督机器学习模型以使用交易者的每日交易活动数据和美国股票市场指数数据对日间交易者进行分类
6. Effect of Planting Density and K2O:N Ratio on the Yield External Quality and Traders Perceived Shelf Life of Pineapple Fruits in Benin [O] . Ulrich Djido, Nicodeme V. Fassinou Hotegni, Willemien J. M. Lommen, 2021

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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％。

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