Can HFT profit in Chinese stock market?

Wei Liu

Economics Letters, 2021, vol. 209, issue C

Abstract: We develop a new method to proxy the High-Frequency Trading (HFT) activity of Chinese stock market by searching order-trade data with low latency and message linkage. We find that daily average percent of HFT detected by the method is 3.8029% between September 2014 and December 2020. Meanwhile, stocks with the highest participation of HFT manifest best profitability, and the profit advantage declines gradually after 2019.

Keywords: High-frequency trading (HFT); HFT detection; Profitability; Chinese stock market (search for similar items in EconPapers)
JEL-codes: G1 G23 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:209:y:2021:i:c:s016517652100392x

DOI: 10.1016/j.econlet.2021.110115

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