Ultra high frequency financial data

ABSTRACT

This note is best described as a 'Research Challenge', and concerns building an ultra high frequency (UHF) trading system. The emphasis is on addressing the problems posed by UHF data, with a few thoughts on strategy and implementation. The problem may be amenable to evolutionary computation.

REFERENCES

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INDEX TERMS

Primary Classification:
  E. Data
  E.m MISCELLANEOUS

Additional Classification:
  I. Computing Methodologies
  I.2 ARTIFICIAL INTELLIGENCE
      I.2.m Miscellaneous

  J. Computer Applications
  J.4 SOCIAL AND BEHAVIORAL SCIENCES
      Subjects: Economics

General Terms:
Economics

Keywords:
data, evolutionary algorithms, finance, high frequency