文章基本信息

标题：How High Frequency Trading Affects a Market Index
本地全文：下载
作者：Dror Y. Kenett ; Eshel Ben-Jacob ; H. Eugene Stanley 等
期刊名称：Scientific Reports
电子版ISSN：2045-2322
出版年度：2013
卷号：3
期号：1
DOI：10.1038/srep02110
语种：English
出版社：Springer Nature
摘要：The relationship between a market index and its constituent stocks is complicated. While an index is a weighted average of its constituent stocks, when the investigated time scale is one day or longer the index has been found to have a stronger effect on the stocks than vice versa. We explore how this interaction changes in short time scales using high frequency data. Using a correlation-based analysis approach, we find that in short time scales stocks have a stronger influence on the index. These findings have implications for high frequency trading and suggest that the price of an index should be published on shorter time scales, as close as possible to those of the actual transaction time scale.