ИСТИНА

We consider trading strategy, which generates dynamic portfolio that changes with low latency in response to changes of the market. Traditional approaches to calculation of risk measures, like VaR or shortfall, do not apply to this case of fast changing portfolio. We model real time P&L process of a low latency trading strategy as Cox process. We use limit theorems for Cox processes to derive approximation for distribution of maximum of the P&L process on fixed time interval when intensity of changes is high. In conclusion we discuss practical applications of the proposed approach.