文章基本信息

标题：Modelling Intervalling Effect of High Frequency Trading on Portfolio Volatility
本地全文：下载
作者：Ki Hoon Hong
期刊名称：Theoretical Economics Letters
印刷版ISSN：2162-2078
电子版ISSN：2162-2086
出版年度：2019
卷号：9
期号：7
页码：2362-2370
DOI：10.4236/tel.2019.97150
出版社：Scientific Research Publishing
摘要：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..
关键词：Volatility;Fast Trading;Momentum Trading;Time Series Momentum;Intervalling Effect