Market Microstructure Models for High Frequency Trading Strategies

This note summarizes some of the key research in the field of market microstructure and considers some of the models proposed by the researchers. Many of the ideas presented here have become widely adopted by high frequency trading firms and incorporated into their trading systems.

About Jonathan

Dr Jonathan Kinlay is the Head of Quantitative Trading at Systematic Strategies, LLC, a systematic hedge fund that deploys high frequency trading strategies using news-based algorithms. Dr Kinlay, was the founder and General Partner of the Caissa Capital hedge fund, whose volatility arbitrage strategies were developed by Dr Kinlay’s investment research firm, Investment Analytics. Caissa, which managed $400M in assets, was ranked by FIMAT as the top performing fund in its class in 2004. Dr Kinlay went on to establish the Proteom Capital, whose statistical arbitrage strategies were based on pattern recognition techniques used in DNA sequencing. Dr Kinlay was formerly Global Head of Model Review at the US investment bank Bear Stearns. Dr Kinlay holds a PhD in economics and has held positions on the faculty at New York University Stern School of Business, Carnegie Mellon and Reading Universities. Dr Kinlay is a regular conference speaker and writer on investment research, hedge fund investing and quantitative finance. Kinlay was a member of England’s chess team that won gold in the World Student Olympiad in Mexico in 1978. He is the son of Fleet Street editor James Kinlay and father of British actress Antonia Kinlay.
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