@article {Kumiega40, author = {Andrew Kumiega and Ben Van Vliet}, title = {A Practical Real Options Approach to ValuingHigh-Frequency Trading System R\&D Projects}, volume = {8}, number = {3}, pages = {40--48}, year = {2013}, doi = {10.3905/jot.2013.8.3.040}, publisher = {Institutional Investor Journals Umbrella}, abstract = {In the age of automation, trading and market making is about estimating the fair price of automated trading system research and development projects. This requires a new methodology to arrive at such a fair price. A natural choice is a real options framework. In this article, we review a methodology for automated trading system R\&D, as well as a practical real option model for valuing such projects so as to enable rapid strategy cycling.TOPICS: Quantitative methods, options}, issn = {1559-3967}, URL = {https://jot.pm-research.com/content/8/3/40}, eprint = {https://jot.pm-research.com/content/8/3/40.full.pdf}, journal = {The Journal of Trading (Retired)} }