New technologies and the advent of computerized trading have changed the landscape of financial markets in recent years. Algorithmic trading, automated trade execution and high frequency trading (HFT) at the millisecond time scale are now a prominent component of all major financial exchanges. Hailed by some as a source of market liquidity, algorithmic trading has been criticized by others as a source of market instability and volatility.
Yet the impact of algorithmic trading on market dynamics is yet to be fully understood: how do markets in which computers trade against other computers differ from markets with human traders? What are the implications for price behaviour, market regulation and financial stability?
These questions have raised concerns for regulators, market participants and risk managers. Mathematical modelling, which has played a vital role in financial risk management and in the development of algorithmic trading, has a lot to contribute to this debate.
This one day workshop sought to bring together perspectives from a range of experts -academics, regulators and practitioners on these important questions.
Aims and Objectives
The aim of this one-day workshop was to disseminate the latest advances in quantitative modelling and empirical studies on the impact of HFT and algorithmic trading on markets, with an emphasis on emerging phenomena and implications for risk management and policy. Additionally, the talks and discussion session highlighted potential strategies which could mitigate against negative effects and risks of algorithmic trading in the future.
Topics of interest included:
- Impact of HFT and algorithmic trading on markets – complexity, volatility, volume
- “Flash crashes” and intraday market anomalies
- Interaction between trading algorithms and feedback effects
- Algorithmic trading and market stability
- Practitioners perspectives – challenges and strategies
- Regulatory perspectives on HFT and algorithmic trading
This event was of interest to practitioners, regulators and academics with an interest in financial markets.
The workshop took place at the Alan Turing Institute, London. The Institute is headquartered at the British Library. Please see the link for directions to the venue.