Quantitative Research in High Frequency Trading for Natural Gas Futures Market

2015 ◽  
pp. 29-35 ◽  
Author(s):  
Saulius Masteika ◽  
Mantas Vaitonis
Keyword(s):  
Natural Gas ◽  
High Frequency ◽  
Quantitative Research ◽  
Futures Market ◽  
High Frequency Trading

scholarly journals High-Frequency Trading and Its Impact on Exogenous Liquidity Risk of China’s Stock Index Futures Market before and after Trading Restrictions

Complexity ◽  
2020 ◽  
Vol 2020 ◽  
pp. 1-11
Author(s):  
GuangWei Shi ◽  
Yun Chen
Keyword(s):  
High Frequency ◽  
Liquidity Risk ◽  
Futures Market ◽  
Stock Index ◽  
High Frequency Trading ◽  
Stock Index Futures ◽  
Trade Restriction ◽  
Index Futures ◽  
Restriction Policy ◽  
The Impact

Since China’s first stock index futures, China Securities Index 300 (CSI300) stock index futures were published in 2010, and China’s stock index futures market is now in a period of rapid development and play a key role in price discovery. During 2014 to 2015, China’s stock index futures market fluctuated abnormally, and the overuse of high-frequency trading (HFT) strategies in the stock index futures market was blamed as the main reason of the abnormal volatility. To lower down market fluctuation, the regulatory institute then announced a series of trade restriction policy to prevent the overuse of HFT behaviour. However, until now, the impact of such trade restriction policy for HFT remains uncertain. To tackle this issue, based on minute-level HFT data from the CSI 300 index futures market, this paper aims to investigate the relationship between HFT and the exogenous liquidity risk and how HFT affects China’s stock index futures market on its liquidity using the liquidity-adjusted value at risk (LVaR) model. The findings indicate that HFT improves the return of the liquidity provider and reduces the exogenous liquidity risk significantly.

The Impact of High-Frequency Trading on Australian Futures Market Liquidity and Efficiency

2020 ◽  
Vol 27 (4) ◽  
pp. 51-76
Author(s):  
Panha Heng ◽  
Scott J. Niblock ◽  
Jennifer L. Harrison ◽  
Hansi Hu
Keyword(s):  
High Frequency ◽  
Futures Market ◽  
Market Liquidity ◽  
High Frequency Trading ◽  
The Impact

High-Frequency Financial Econometrics

2014 ◽  
Author(s):  
Yacine Aït-Sahalia ◽  
Jean Jacod
Keyword(s):  
High Frequency ◽  
Practical Importance ◽  
Financial Econometrics ◽  
Trading Strategies ◽  
Financial Data ◽  
Jump Processes ◽  
High Frequency Trading ◽  
Microstructure Noise ◽  
Econometric Methods ◽  
Mathematical Foundations

High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. The book covers the mathematical foundations of stochastic processes, describes the primary characteristics of high-frequency financial data, and presents the asymptotic concepts that their analysis relies on. It also deals with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As the book demonstrates, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. The book approaches high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.

High-Frequency Trading

2011 ◽  
Author(s):  
Peter Gomber ◽  
Björn Arndt ◽  
Marco Lutat ◽  
Tim Elko Uhle
Keyword(s):  
High Frequency ◽  
High Frequency Trading
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