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SUMMARY:Using a Market Simulator to Develop High-Frequency Execution Algor
 ithms - Almgren\, R (New York University)
DTSTART:20131119T140000Z
DTEND:20131119T145000Z
UID:TALK48897@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:A market simulator is an essential tool for the development of
  high-frequency trading strategies. We will discuss the principles of cons
 tructing a simulator for interest rates futures products\, taking account 
 of the special features of these markets such as pro rata matching\, impli
 ed liquidity\, and pricing signals. Comparison with actual trade execution
 s lets us do a quantitative assessment of the validity of the simulator. \
 n
LOCATION:Seminar Room 2\, Newton Institute Gatehouse
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