Intraday Trading and Analysis and Monitoring Trader Behavior

Electronic exchanges are venues that provide immediacy for those who need to find a counterparty to their trades. Orders of various types arrive in the market at ever increasing speeds, and in this era of high-frequency trading (HFT), institutional investors are often disadvantaged because of their high-latency relative to faster traders. To level the playing field somewhat, this proposal seeks to understand what features are present in the market when there is normal and abnormal trading activity, and to provide a tool for TMX and its clients to detect when the trading environment is “toxic”. In addition, the proposed project aims to classify brokers/traders (into hedgers, speculators or HFT arbitrageurs), predict traders’ behavior and assess whether traders are colluding.

Faculty Supervisor:

Matt Davison

Student:

Andrew Day

Partner:

TMX Group Limited

Discipline:

Mathematics

Sector:

Finance, insurance and business

University:

Western University