Satisficing in High Frequency Trading

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Monday 19 December 2016

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In November, Ben Van Vliet, Director of the Centre for Strategic Finance at Illinois Institute of Technology (IIT) in Chicago visited Coventry University London Campus to deliver a seminar on high-frequency trading to staff and students at University House.

Assistant Professor of Finance at Stuart, Ben teaches courses in C++ and C# programming for quantitative finance and automated trading system design and development. Author of three books on algorithmic trading/investment, Ben has been quoted extensively in the national media on high frequency trading, including the Wall Street Journal, Bloomberg TV, Newsweek, BusinessWeek, IEEE Spectrum, Institutional Investor, Automated Trader, Reuters, and Yahoo! News. His research on ethics in high frequency trading has also been featured on Forbes.

Having previously met Ben on a recent visit to Illinois Institute of Technology, Pro Vice Chancellor and CEO of Coventry University London Campus Janet Hannah, invited Ben to deliver a seminar on campus. Students at both undergraduate and postgraduate level were invited to attend, and the content provided particularly useful to those studying a finance related programme.

High-frequency trading, where trades are executed by computers rather than humans, is a hotly debated phenomenon in the profession, among regulators and the media.

In his presentation, Ben reviewed some of the controversy around high-frequency trading and presented evidence that refute the accusation that it provides only phantom liquidity. Challenging the popular view that high-frequency trading firms are highly rational agents, Ben reported evidence from interviews with professionals in this area and specialist media that these firms are rather capability satisficers. As heuristic decision-making among these firms may bind the rationality of their algorithmic agents, he argued that the sources of their competitive advantage might also be sources of irrationality in algorithmic trading.

We look forward to working with Ben in the future.