Horizon Trading Solutions significantly invest, every year, in Research, Development & Innovation. We aim at providing state-of-the-art, highly performing technology, coupled with innovative modelling, trading strategies and execution algos.

Horizon offers a complete framework to script and back test strategies, alongside innovative execution strategies implemented in Horizon.

Our latest research concentrates on a comprehensive examination of market microstructure, specifically targeting the optimization of execution strategies. In the realm of practical application, the focus primarily revolves around high-frequency trading, aiming to dissect market behaviors, study liquidity dynamics, and analyze the resilience of limit order books. On the theoretical front, the core emphasis lies in stochastic control theory and point processes.

The research involves understanding the non-Markovian nature inherent in price processes. Utilizing Hawkes processes, the analysis aims to model the patterns of order arrivals within a limit order book. A collaborative paper titled Uncovering Market Disorder and Liquidity Trends Detection, co-authored with Vathana Ly Vath and Etienne Chevalier, epitomizes this effort, seeking to identify and characterize significant liquidity shifts within order-driven markets. Leveraging Marked Hawkes processes to treat trades-through as a proxy for liquidity allows for the precise identification of fluctuations in liquidity intensity. Leveraging the insights gleaned from my preliminary research, my current focus lies in formulating an optimal execution strategy adept at navigating through diverse liquidity regimes. This endeavor is directed toward identifying effective solutions to curb market impact and minimize transaction costs. This research pursues a practical application of deciphering market microstructure complexities. By enhancing comprehension of high-frequency trading dynamics, it aims to contribute to the development of more efficient trading strategies, potentially applicable in real-time trading scenarios. Moreover, this research aims to offer theoretical contributions in the field of stochastic control, bridging practical insights with advancements in theoretical frameworks.

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