Name
Abstract | ||
|---|---|---|
The goal of this project is to rapidly construct an order-by-order level snapshot of financial markets with nanosecond resolution time stamps. We are particularly interested in understanding the impact of high-frequency traders on the security, stability, and fairness of these markets. In this paper, we describe our computational approach, the optimizations that were applied to improve the performance of the software by a factor of more than 125×, and the new capabilities that can be enabled using a combination of fast algorithms and XSEDE resources. Copyright © 2014 John Wiley & Sons, Ltd. |
Year | DOI | Venue |
|---|---|---|
2013 | 10.1002/cpe.3220 | Concurrency and Computation: Practice & Experience |
Keywords | DocType | Volume |
xsede resource,computational approach,high-frequency trading,financial market,fast algorithm,performance optimization,new capability,high-frequency trader,nanosecond level snapshot,fast construction,order-by-order level snapshot,nanosecond-resolution time stamp,high frequency trading | Conference | 26 |
Issue | ISSN | Citations |
13 | 1532-0626 | 2 |
PageRank | References | Authors |
0.64 | 0 | 5 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Jiading Gai | 1 | 34 | 4.86 |
| Dong Ju Choi | 2 | 32 | 5.17 |
| David O'Neal | 3 | 2 | 0.64 |
| Mao Ye | 4 | 2 | 0.98 |
| Robert S Sinkovits | 5 | 72 | 12.01 |