HFT – Algorithmic Trading Shows Clear Intraday Periodicity – ValueWalk Premium
volume periodicity 0314 Algorithmic trading

HFT – Algorithmic Trading Shows Clear Intraday Periodicity

Algorithmic trading is supposed to optimize investment strategies, taking out the subjective influence of a trader making minute by minute decisions, and high frequency trading (HFT) is known to be lightning fast. But people’s preference for round numbers has a startling effect on trade volumes, clumping activity at regular intervals without a rational explanation.

“Recurring periodicity of crowded trading activity increases as the ‘roundness’ of time marks increases. One hour marks are the most attractive for clustered activity, followed by half-hour marks and . . .


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