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The Profitability of Lead-Lag Arbitrage at High-Frequency
Poutré, Cédric; Dionne, Georges; yergeau, gabriel - 2022
Any lead-lag effect in an asset pair implies the future returns on the lagging asset have the potential to be predicted from past and present prices of the leader, thus creating statistical arbitrage opportunities. We utilize robust lead-lag indicators to uncover the origin of price discovery...
Persistent link: https://www.econbiz.de/10014239339
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Crashes and high frequency trading : [an evaluation of risks posed by high-speed algorithmic trading]
Becke, Susanne von der; Sornette, Didier - 2011
Persistent link: https://www.econbiz.de/10009561750
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High-frequency trading in the Bund futures market
Schlepper, Kathi - 2016
In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures … price discovery compared to Non-HFTs, but also add a higher share to noise than to permanent volatility. Moreover, I find … evidence that HFTs tend to supply less liquidity after an unexpected rise in market volatility and prior to upcoming …
Persistent link: https://www.econbiz.de/10011483067
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False news, informational efficiency, and price reversals
Dugast, Jérôme; Foucault, Thierry - 2015
Information processing filters out the noise in data but it takes time. Hence, low precision signals are available before high precision signals. We analyze how this feature affects asset price informativeness when investors can acquire signals of increasing precision over time about the payoff...
Persistent link: https://www.econbiz.de/10010499565
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High-Frequency Trading, Stock Volatility, and Price Discovery
Zhang, Frank - 2010
trading volume. This study examines the implication of high-frequency trading for stock price volatility and price discovery …. I find that high-frequency trading is positively correlated with stock price volatility after controlling for firm … fundamental volatility and other exogenous determinants of volatility. The positive correlation is stronger among the top 3 …
Persistent link: https://www.econbiz.de/10013137079
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Liquidity Suppliers and High Frequency Trading
Jarrow, Robert A. - 2013
This paper provides a mathematical analysis of how high frequency traders profi t from their speed with respect to the limit order book. We show that their pro ts can be decomposed into two components. The rest is due to their ability to execute market orders at limit order prices and without...
Persistent link: https://www.econbiz.de/10013071783
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High-Frequency Trading in the U.S. Treasury Market Around Macroeconomic News Announcements
Jiang, George J. - 2018
This paper investigates high-frequency (HF) trading in the U.S. Treasury market around macroeconomic news announcements. After identifying HF market and limit orders based on the speed of their placement alteration and cancellation deemed beyond manual ability, we use the introduction of the...
Persistent link: https://www.econbiz.de/10012912840
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Have financial markets become more informative?
Bai, Jennie; Philippon, Thomas; Savov, Alexi - 2012
The finance industry has grown. Financial markets have become more liquid. Information technology has improved. But have prices become more informative? Using stock and bond prices to forecast earnings, we find that the information content of market prices has not increased since 1960. The...
Persistent link: https://www.econbiz.de/10009657611
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High-frequency trading and price informativeness
Gider, Jasmin; Schmickler, Simon; Westheide, Christian - 2019
volatility decreases, mutual funds trade less actively and their holdings deviate less from the market-capitalization weighted …
Persistent link: https://www.econbiz.de/10012062192
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High-frequency trading and price informativeness
Gider, Jasmin; Schmickler, Simon; Westheide, Christian - 2019
-level idiosyncratic volatility decreases, and the holdings and trades by institutional investors deviate less from the market …
Persistent link: https://www.econbiz.de/10011990090