کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7374328 1479846 2017 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The impact of latency sensitive trading on high frequency arbitrage opportunities
ترجمه فارسی عنوان
تاثیر تجارت حساس تاخیر در فرصتهای داوری با فرکانس بالا
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
This study examines the duration, frequency and profitability of potential high frequency arbitrage strategies between the share price index futures contract and an exchange-traded fund (ETF) written on the S&P/ASX200 constituent securities traded on the Australian Securities Exchange (ASX). We find the frequency and profitability of potential arbitrage opportunities are greater during volatile and high turnover periods-other things equal. We examine the impact of increased competition in high frequency trading (HFT) by identifying the number of 'co-location connections' utilized in the ASX's minimum latency liquidity center. We document an increase in the frequency, duration and value (albeit small) of index arbitrage profit opportunities with increased HFT connections. Our results are robust to the inclusion of transaction costs. We conclude that increased HFT activity in markets increases trade execution risk associated with arbitrage (or legging risk) which in turn increases mispricing in markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Pacific-Basin Finance Journal - Volume 45, October 2017, Pages 91-102
نویسندگان
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