CAN HIGH-FREQUENCY TRADING STRATEGIES CONSTANTLY BEAT THE MARKET?

被引：8
|
作者：
Manahov, Viktor [1 ]
机构：
[1] Univ York, York YO10 5GD, N Yorkshire, England
来源：
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS | 2016年 / 21卷 / 02期
关键词：
high-frequency trading; algorithmic trading; forecasting and simulation; forecasting methods; market regulation; ROBUSTNESS; HYBRID;
D O I：
10.1002/ijfe.1541
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Policymakers are still debating whether or not high-frequency trading (HFT) is beneficial or harmful to financial markets. We develop four artificial stock markets populated with HFT scalpers and aggressive high-frequency traders using Strongly Typed Genetic Programming trading algorithm. We simulate real-life HFT by applying Strongly Typed Genetic Programming to realtime millisecond data of Apple, Bank of America, Russell 1000 and Russell 2000 and observe that HFT scalpers front-run the order flow generating persistent profits. We also use combinations of forecasting techniques as benchmarks to demonstrate that HFT scalping strategies anticipate the trading order flow and constantly beat the market. Copyright (C) 2015 John Wiley & Sons, Ltd.
引用
收藏
页码：167 / 191
页数：25
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