High-Frequency Strategies That Rely on Trading Obligations of Market Makers

(Last Updated On: April 3, 2012)

High-Frequency Strategies That Rely on Trading Obligations of Market Makers

I am exploring the topic of high-frequency strategies that specifically rely on various trading obligations of market makers, which are largely set by trading venues as self-regulatory organizations. Conflicts among formal market makers and certain types of agile traders exploiting various institutional and regulatory frictions isn’t a new phenomenon (think about the SOES and RAES “banditry” in the olden days), and this is still going on in today’s securities markets. For instance, I am aware that high-frequency strategies gaming trading obligations of market makers do exist, and, in their turn, market makers employ special “combative” algorithms. I’d be forever obliged if you could share your insights on this topic (on a very basic level and without revealing any proprietary information of course). For instance, have there been any attempts to game a recent prohibition on “stub” quotes applicable to market makers? This is for a paper of mine dealing with certain aspects of U.S. securities law (which is available at http://ssrn.com/abstract=2032134). Thanks!

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Hi i there My name is Bryan Downing. I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties: C++, Java, C#, Matlab, quant, models, strategies, technical analysis, linux, windows P.S. I have been known to be the worst typist. Do not be offended by it as I like to bang stuff out and put priorty of what I do over typing. Maybe one day I can get a full time copy editor to help out. Do note I prefer videos as they are much easier to produce so check out my many video at youtube.com/quantlabs