communication: Commonality in High-Frequency Trading
speaker: Matthias Saerensspeaker: Cynthia van Hulle
speaker: Gunther Wuyts
abstract: Highfrequency trading (HFT) accounts for an important percentage of trading volume in equity markets. In this paper, we focus on HFT in the crosssection of assets. In particular, we study whether it induces commonality across stocks. Using a sample of NASDAQ-listed stocks, we examine if there is a common factor in the intraday trading activity for this class of traders. Our findings indicate that there is indeed commonality in HFT across stocks, but that this is also true for nonHFT. A more detailed analysis shows that the exact difference between both groups of traders is complex and depends on the measure considered. Volumebased measures of HFT comove more relative to nonHFT, while the reverse is true for imbalancebased measures. We interpret these results as consistent with the market making role of HFT, as well as with the fast taking and unwinding of positions resulting from other proprietary trading strategies.
timetable:
Thu 28 Jan, 15:00 - 17:00, Sala Azzurra
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