High Frequency Trading Review



    Using high-frequency time series of stock prices and share volumes sizes from January 2002-May 2009, this paper investigates whether the effects of the onset of high-frequency trading, most prominent since 2005, are apparent in the dynamics of the dollar traded volume. Indeed it is found in almost all of 14 heavily traded stocks, that there has been an increase in the Hurst exponent of dollar traded volume from Gaussian noise in the earlier years to more self-similar dynamics in later years. This shift is linked both temporally to the Reg NMS reforms allowing high-frequency trading to flourish as well as to the declining average size of trades with smaller trades showing markedly higher degrees of self-similarity.

    Smith, Reginald, Is High-Frequency Trading Inducing Changes in Market Microstructure and Dynamics? (June 28, 2010). Available at SSRN: http://ssrn.com/abstract=1632077 or http://dx.doi.org/10.2139/ssrn.1632077

    Visit resource

    Related content

    News: SEC Charges 14 Sales Agents In $415 Million Long Island-Based Ponzi Scheme
    12 June 2012 – News Articles
    The Securities and Exchange Commission today charged 14 sales agents who misled investors and illegally sold securities for a Long Island-based investment firm at the center…

    News: Building technology for high frequency trading [IT News]
    10 July 2012 – HFT Review
    By Juha Saarinen Data centres have become the new trading floors for stock markets, according to former New York Stock Exchange technology veteran Steve Rubinow. Now the c…

    Leave A Reply