oddsmaker 发表于 2010-6-20 23:39
Sorry I'm a bit confused.
I suppose traders needs to price the derivative before they trade?

Would you mind clarifying if it's not what you're looking for?
Thanks.

oddsmaker 发表于 2010-6-21 09:48
Gotcha.

I believe there is no overlapping between high-freq trading and derivatives.
Like x- and y-axis in maths.

High freq trading, as I understand, refers to trading activities with very short horizon.
The underlying can be securities, derivatives (such as option), whatever.

Consider you are a option market maker.
1) Market making is one kind of high freq trading.
2) You will need models (may or maybe in stochastic calculus) to do valuation.

oddsmaker 发表于 2010-6-23 18:11
As I understand, equity and futures are the most popular products in high freq trading.
You need stochastic calculus to build models, do model validation, investigate unexpected loss, etc.