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Characteristics of High Frequency Trading by Fredrik Henrikson

Characteristics of High Frequency Trading by Fredrik Henrikson
By JohnLast 2944 days ago Comments (2)


How to detect HFT?This is interesting paper about High Frequency Tradings. It is of a great interest and that is why I choose to upload it as a file and not to share as a link. The conlusions in this paper are not decisive. However there are some developments that merit a great deal of interest. In fact here you can find the explantion of several interesting and typical HFT strategies. They are described by Aldridge (2009).-

- Authomated liquidity provision- Market microstructure trading  (less than1 m. holding period)

- Event arbitrage  trading (less than 10 m. holding period)

-Statistical arbitrage (less than 1 h. holding period)


-Deviation arbitrage (less than 1 day holding period)

What is pinging? The HFT trader enters an order and then immediately cancels it in order
to discover hidden liquidity.

What is spoofing? Entering a large number of orders on one side of the order book to give the
impression of liquidity and to trigger other algorithms while ultimately wanting
to trade on the other side. The orders are then canceled and orders on the
opposite side of the order book are entered

However the paper is mainly interesting in its developments how to detect the HFT trading. Even if I think that this is not the most appropriate mathematical model to be used it is still very interesting.