RT Journal Article SR Electronic T1 A Practical Real Options Approach to Valuing
High-Frequency Trading System R&D Projects JF The Journal of Trading FD Institutional Investor Journals SP 40 OP 48 DO 10.3905/jot.2013.8.3.040 VO 8 IS 3 A1 Andrew Kumiega A1 Ben Van Vliet YR 2013 UL https://pm-research.com/content/8/3/40.abstract AB 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