The rise of the machines in commodities markets: new evidence obtained using Strongly Typed Genetic Programming
Viktor Manahov ()
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Viktor Manahov: The University of York
Annals of Operations Research, 2018, vol. 260, issue 1, 321-352
Abstract Market regulators around the world are still debating whether or not high-frequency trading (HFT) is beneficial or harmful to market quality. We develop artificial commodities market populated with HFT scalpers and traditional commodities traders using Strongly Typed Genetic Programming (STGP) trading algorithm. We simulate real-life commodities trading at the millisecond timeframe by applying STGP to the S&P GSCI data stamped at the millisecond interval. We observe that HFT scalpers anticipate the order flow leading to severe damages to institutional traders. To mitigate the negative implications of HFT scalpers on commodities markets, we propose a minimum resting trading order period of more than 150 ms.
Keywords: Commodities markets; High frequency trading; Algorithmic trading; Evolutionary algorithms; Market regulation; Market efficiency (search for similar items in EconPapers)
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