The Volume Clock: Insights into the High-Frequency Paradigm

被引：63

作者：

Easley, David ^{[1
]}

de Prado, Marcos M. Lopez ^{[2
,3
]}

O'Hara, Maureen ^{[4
]}

机构：

[1] Cornell Univ, Dept Econ, Ithaca, NY 14853 USA

[2] Tudor Investment Corp, Greenwich, CT USA

[3] Univ Calif Berkeley, Lawrence Berkeley Natl Lab, CIFT, Berkeley, CA 94720 USA

[4] Cornell Univ, Johnson Grad Sch Management, Ithaca, NY 14853 USA

来源：

JOURNAL OF PORTFOLIO MANAGEMENT | 2012年 / 39卷 / 01期

关键词：

STOCHASTIC-PROCESS MODEL; FINITE VARIANCE; FLOW TOXICITY; LIQUIDITY;

D O I：

10.3905/jpm.2012.39.1.019

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Over the last two centuries, technological advantages have allowed some traders to be faster than others. In this article, the authors argue that contrary to popular perception, speed is not the defining characteristic that sets high-frequency trading (HFT) apart. HFT is the natural evolution of a new trading paradigm that is characterized by strategic decisions made in a volume-clock metric. Even if the speed advantage disappears, HFT will evolve to continue exploiting structural weaknesses of low-frequency trading (LFT). LFT practitioners are not defenseless against HFT players, however, and this article offers options that can help them survive and adapt to this new environment.

引用

页码：19 / 29

页数：11

共 27 条

[1] Order flow, transaction clock, and normality of asset returns [J].