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The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response
Arms Race Frequent Batch
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2015/9/18
The high-frequency trading arms race is a symptom of flawed market design. Instead
of the continuous limit order book market design that is currently predominant, we argue
that financial...
HIGH FREQUENCY EVIDENCE ON THE DEMAND FOR GASOLINE
GASOLINE FREQUENCY EVIDENCE
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2015/7/31
We investigate the divergence between these results and find that a virtually all of
the difference can be explained by the higher level of temporal and spatial aggregation. Since
our baseline...
Study on Stock Index Futures’ Mean Reversion Effect and Arbitrage in China Based on High-Frequency Data
CSI 300 Index Future High-Frequency Data Futures-Spot Arbitrage Mean Reversion Effect Mispricing Ratio
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2013/2/23
Based on 1 minute high frequency data, this paper constructs no-arbitrage band for CSI300 index futures, and empirically studies the futures-spot arbitrage. Furthermore, the mean reversion and its tim...
Empirical Limitations on High Frequency Trading Profitability
Empirical Limitations High Frequency Trading Profitability
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2010/10/21
Addressing the ongoing examination of high-frequency trading practices in financial markets, we report the results of an extensive empirical study estimating the maximum possible profitability of the...
Testing for jumps in noisy high frequency data
Semimartingale Testing for jumps High frequency data Market microstructure noise Pre-averaging
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2014/3/13
This paper proposes a robustification of the test statistic of Aït-Sahalia and Jacod (2009b) for the presence of market microstructure noise in high frequency data, based on the pre-averaging met...
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
Covariance Generalized synchronization method Market microstructure noise Quasi-Maximum Likelihood Estimator Refresh Time.
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2014/3/13
This article proposes a consistent and efficient estimator of the high-frequency covariance (quadratic covariation) of two arbitrary assets,observed asynchronously with market microstructure noise. Th...