High frequency trading system design and process management

Trading firms nowadays are highly reliant on data mining, computer modeling and software development. Financial analysts perform many similar tasks to those in software and manufacturing industries. However, the finance industry has not yet fully adopted high-standard systems engineering frameworks and process management approaches that have been successful in the software and manufacturing industries. Many of the traditional methodologies for product design, quality control, systematic innovation, and continuous improvement found in engineering disciplines can be applied to the finance field. This thesis shows how the knowledge acquired from engineering disciplines can improve the design and processes management of high frequency trading systems. High frequency trading systems are computation-based. These systems are automatic or semi-automatic software systems that are inherently complex and require a high degree of design precision. The design of a high frequency trading system links multiple fields, including quantitative finance, system design and software engineering. In the finance industry, where mathematical theories and trading models are relatively well researched, the ability to implement these designs in real trading practices is one of the key elements of an investment firm's competitiveness. The capability of converting investment ideas into high performance trading systems effectively and efficiently can give an investment firm a huge competitive advantage.

Department dc:contributor.department

System Design and Management Program.

Grantor dc:publisher

Massachusetts Institute of Technology

Year dc:date.issued

2009

Author dc:creator

• Xiao, Xiangguang

Advisor dc:contributor.advisor

• Roy E. Welsch.

• System Design and Management Program.

Statement dc:rights

• M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission.

Licence dc:rights.uri

• http://dspace.mit.edu/handle/1721.1/7582

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/1721.1/55249

OAI identifier oai:identifier

oai:dspace.mit.edu:1721.1/55249