HFT of a Single Asset

Zhaodong Wang and Weian Zheng

Chapter 7 in High-Frequency Trading and Probability Theory, 2014, pp 141-153 from World Scientific Publishing Co. Pte. Ltd.

Abstract: As we have noticed in Section 5.4, the paired trading needs successful execution of four orders for two assets. Therefore, it is natural to ask if a trader can make profit just from repeatedly trading one single financial derivative. There is a big debate on profitability of market timing.We are not interested in taking part in this debate but have a remark as follows. Investors use day or month as the timescale to see the change of the fundamentals, while the time unit is a seconds in high-frequency trading (HFT). When the time is measured by a seconds, the most information one can based on is the momentum shown by technical indicators. From mathematical point of view, the only available information is the stationarity of certain pattern, which can be justified by statistics…

Keywords: High-Frequency Trading; Algorithm Trading; Program Trading; Technical Analysis (search for similar items in EconPapers)
Date: 2014
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