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 . . .
This content is exclusively for paying members.
If you are subscribed and having an account error please clear cache and cookies if that does not work email [email protected] or click Chat.