David EasleyCornell University - Department of Economics Marcos M. Lopez de PradoTudor Investment Corp.; RCC at Harvard University; Lawrence Berkeley National Laboratory Maureen O'HaraCornell University - Samuel Curtis Johnson Graduate School of Management Abstract Over the last two centuries, technological advantages have allowed some traders to be faster than others. We argue that, contrary to popular perception, speed is not the defining characteristic that sets High Frequency Trading (HFT) apart. HFT is the natural evolution of a new trading paradigm that is characterized by strategic...

David Bicchetti and Nicolas Maystre Abstract This paper analyses the intraday co-movements between returns on several commodity markets and on the stock market in the United States over the 1997-2011 period. By exploiting a new high frequency database, we compute various rolling correlations at (i) 1-hour, (ii) 5-minute, (iii) 10-second, and (iv) 1-second frequencies. Using this database, we document a synchronized structural break, characterized by a departure from zero, which starts in the course of 2008 and continues thereafter. This is consistent with the idea that recent financial...

Christian Leber, Benjamin Geib, Heiner Litz   Abstract This paper presents the design of an application specific hardware for accelerating High Frequency Trading applications. It is optimized to achieve the lowest possible latency for interpreting market data feeds and hence enable minimal round-trip times for executing electronic stock trades. The implementation described in this work enables hardware decoding of Ethernet, IP and UDP as well as of the FAST protocol which is a common protocol to transmit market feeds. For this purpose, we developed a microcode engine with a corresponding...