Risk and Return in High Frequency Trading
Preprint
- 1 January 2014
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
This paper studies high frequency trading (HFT) in the E-mini S&P 500 futures contract over a two-year period and finds that revenue is concentrated among a smaKeywords
All Related Versions
This publication has 23 references indexed in Scilit:
- Equilibrium fast tradingJournal of Financial Economics, 2015
- High-Frequency Trading and Price DiscoveryThe Review of Financial Studies, 2014
- A dynamic limit order market with fast and slow tradersJournal of Financial Economics, 2014
- The diversity of high-frequency tradersJournal of Financial Markets, 2013
- Algorithmic Trading and the Market for LiquidityJournal of Financial and Quantitative Analysis, 2013
- Simple formulas for standard errors that cluster by both firm and timePublished by Elsevier ,2010
- Estimating Standard Errors in Finance Panel Data Sets: Comparing ApproachesThe Review of Financial Studies, 2008
- Intraday Price Formation in U.S. Equity Index MarketsThe Journal of Finance, 2003
- Common risk factors in the returns on stocks and bondsJournal of Financial Economics, 1993
- Risk, Return, and Equilibrium: Empirical TestsJournal of Political Economy, 1973