Can High‐frequency Trading Strategies Constantly Beat the Market?

Viktor Manahov

International Journal of Finance & Economics, 2016, vol. 21, issue 2, 167-191

Abstract: 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 real‐time 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 © 2015 John Wiley & Sons, Ltd.

Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://hdl.handle.net/

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:21:y:2016:i:2:p:167-191

Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307

Access Statistics for this article

International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().