Andreas Park PRO
Professor of Finance at UofT
Discussion of Identifying High Frequency Trading activity without proprietary data
Paper by Bidisha Chakrabarty, Carole Comerton-Forde, and
Roberto Pascual
Discussion by Andreas Park
Northern Finance Association Meeting, September 2021
How computed as HFT-specific?
Charles Jones: "All good papers have the key results in table III"
Three correlations of interest
statistical pre-requisite: standardization, including intra-day seasonality
all between 40-80%
all previous measures are somewhat order-submission based,
so should (and do) catch message-intensive strategies
HFTs have many strategies
what captures these?
seems like correlation to me ... how's that identified?
Literature:
@financeUTM
andreas.park@rotman.utoronto.ca
slides.com/ap248
sites.google.com/site/parkandreas/
youtube.com/user/andreaspark2812/
By Andreas Park