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- W2515106970 abstract "HFT firms are neither exactly expected utility maximizers nor profit maximizers. They are averse to both price risk and demand risk. This paper explains the capability theory of how these firms make allocation decisions under uncertainty, and shows how capability maximization is precisely consistent with utility theory. The issue, however, is how these firms actually make allocation decisions in practice. Using the Gioia methodology, this paper presents evidence from interviews with HFT professionals and specialist media that suggests that these firms are capability satisficers. Capability theory is also consistent with bounded rationality and the adaptive markets hypothesis, and defines the point at which these firms reach a satisfactory solution. Thus, capability reconciles mainstream theory and the more realistic, behavioral theories based on observation of industry practice. The methodology developed can be applied to any firm that makes algorithmic decisions under uncertainty." @default.
- W2515106970 created "2016-09-16" @default.
- W2515106970 creator A5014271565 @default.
- W2515106970 date "2016-01-01" @default.
- W2515106970 modified "2023-09-27" @default.
- W2515106970 title "Capability Satisficing in High Frequency Trading" @default.
- W2515106970 doi "https://doi.org/10.2139/ssrn.2813260" @default.
- W2515106970 hasPublicationYear "2016" @default.
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