標題: High frequency trading, liquidity, and execution cost
作者: Sun, Edward W.
Kruse, Timm
Yu, Min-Teh
資訊管理與財務金融系 註:原資管所+財金所
Department of Information Management and Finance
關鍵字: Discrete optimization;High frequency trading;Liquidity;Price impact;Optimal execution
公開日期: 1-十二月-2014
摘要: We build a model under the framework of discrete optimization to explain how high frequency trading (HFT) can be applied to supply liquidity and reduce execution cost. We derive the analytical properties of our model in finding the optimal solution to minimize the overall execution cost of HFT. We show that the execution cost can be reduced after increasing trading frequency (i.e., the higher the trading frequency, the lower the execution cost) with a simulation study. In addition, we conduct an empirical investigation with tick level data from US equity market through January 2008 to October 2010 to verify our conclusion drawn from the simulation study. Based on the simulation and empirical results we collected, we show that the HFT can reduce the execution cost when supplying liquidity.
URI: http://dx.doi.org/10.1007/s10479-013-1382-8
http://hdl.handle.net/11536/123878
ISSN: 0254-5330
DOI: 10.1007/s10479-013-1382-8
期刊: ANNALS OF OPERATIONS RESEARCH
Volume: 223
起始頁: 403
結束頁: 432
顯示於類別:期刊論文


文件中的檔案:

  1. 000345073400020.pdf