Modelling Intervalling Effect of High Frequency Trading on Portfolio Volatility

Autor:	Ki Hoon Hong
Rok vydání:	2019
Předmět:	Buy and hold Damages Econometrics Economics Portfolio Dark liquidity Trading strategy Herding High-frequency trading Volatility (finance)
Zdroj:	Theoretical Economics Letters. :2362-2370
ISSN:	2162-2086 2162-2078
DOI:	10.4236/tel.2019.97150
Popis:	This paper theoretically examines whether reducing the minimum trading interval could affect portfolio volatility. Modelling the underlying de-trended asset price with Ornstein Uhlenbeck process, the paper investigates the volatility of portfolios that employ buy and hold strategy and momentum strategy. The paper presents theoretical evidence that the fast trading could increase portfolio price fluctuation and hence potentially suggests another cost of high frequency trading, besides the well-known damages including herding, aggressive trading strategies dark pools, immediate-or-cancel type orders.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::4e498430672ccf7380edf537615e4d25 https://doi.org/10.4236/tel.2019.97150 Zobrazit plný text záznamu