High frequency traders and the price process
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2019.11.005
Abstract: Using a dataset that uniquely identifies counterparties to each S&P500 eMini transaction, we classify each market participant as high or low frequency, and each transaction, by the speed of the traders involved. We investigate empirically… read more here.
Keywords: frequency; price process; frequency traders; high frequency ... See more keywords
Analysis of Individual High-Frequency Traders’ Buy–Sell Order Strategy Based on Multivariate Hawkes Process
Sign Up to like & getrecommendations! Published in 2022 at "Entropy"
DOI: 10.3390/e24020214
Abstract: Traders who instantly react to changes in the financial market and place orders in milliseconds are called high-frequency traders (HFTs). HFTs have recently become more prevalent and attracting attention in the study of market microstructures.… read more here.
Keywords: high frequency; multivariate hawkes; hawkes process; frequency traders ... See more keywords