Ciamac Moallemi: High-Frequency Trading and Market Microstructure

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On November 13, 2012, Ciamac Moallemi, Associate Professor of Decision, Risk, and Operations at Columbia Business School, presented High-Frequency Trading and Market Microstructure. The presentation was part of the Program for Financial Studies' No Free Lunch Seminar Series.
The Program for Financial Studies' No Free Lunch Seminar Series provides broader community access to Columbia Business School faculty research. At each seminar, attended by invited MBA and PhD students, faculty members introduce their current research within an informal lunch setting.
Learn more at www8.gsb.columbia.edu/financia...

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15 июн 2024

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Комментарии : 20

@MrPushupp Год назад

lol take a shot everytime you here a "um uh um"

@SomeInfo-ib3wz 10 лет назад

Have not heard this perspective elsewhere, interesting stuff.

@nathanabrahams5305 4 года назад

ummm...ahrrrr...I like this guy!

@lionelshaneyfelt5607 3 года назад

um ah umm ah me 2 :)

@Christhemartin1 9 месяцев назад

Would be interesting to measure the implicit cost of adverse selection in dark pools he mentioned. Place a bunch of small buy orders with set holding times on the dark pool. Place a bunch of small orders at the exact same moment on a guaranteed market with set holding times. Look at the PnL over many trades.

@laurensvoogd685 9 лет назад

Does someone know any academic papers on black pool markets?

@IRCrunchkiki 5 лет назад

intersting findings on darkpool interference

@hardXcoreminecraft 3 года назад

Would be interested to hear an update on latency as part of transaction costs for retails given the ubiquity of "free" share trades today.

@BrandonSL500 4 года назад

I would have to disagree with some of what he is saying. If you had a large order, as an informed seller/buyer, you would want to get as much of that filled via dark pools because it will not change the market prices. I would definitely use both, try the dark pools first so the market doesn't jack up the price before I get my size filled. Secondly, the people who really want to buy or sell (intrinsic buyers/sellers) the stock are going to do it anyway regardless of dark pool transactions. So I don't see how it decreases overall welfare.