Hello! This is my first blog for my ELEC 4712 Research thesis.
It is already Week 1 of Semester 1, 2011 and I spent my first week and holidays reading the following articles:
Chaboud, A. , Chiquoine, B. , Hjalmarsson, E., and Vega, C., 2009, Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market, International Finance Discussion Papers: Board of Governors of the Federal Reserve System Number 980, 1-46
Hendershott, T., Jones, C.M., and Menkveld, A.J., Does Algorithmic Trading Improve Liquidity?
Gsell, M., Assessing the impact of algorithmic trading on markets: a simulation approach.
Domowitz, I., and Yegerman, H., 2005, The cost of algorithmic trading: A first look at comparative performance
I have also attended preliminary informal meetings with Sanjay Chawla and Andrew Lepone to ask them about being my joint supervisor and they have agreed. However, I will be getting their signatures on Wednesday and Thursday respectively so that I can hand in my topic registration form. Have already got Rafa Calvo as my SEIE supervisor.