# Questions tagged [high-frequency]

For questions dealing with market data sampled at high frequencies, such as tick data and intraday data.

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69 views

### Execution Strategies

I have a rather broad question. Not sure how to best put it. Does anyone have any papers/resources on how to improve the execution model of any strategy? Would it be different if strategy under ...
65 views

### How to derive the HJB equation under this paper's context?

I'm reading this paper:High frequency trading in a limit order book. IN section 3.1, an HJB equatioin was given without any details. Could anyone show how to arrive this equation step by setp? I have ...
34 views

### probability on strategy expected return

I’ve been thinking about this for awhile and couldn’t figure it out myself. Assume you have a trading strategy, which return is normally distributed. strategy return has a mean of 1 basis point and a ...
52 views

### Sharpe ratio from second returns? HFT

I have an intraday trading strategy so I take several positions each day. I have prices for each stock, with a 10 second resolution. So the data looks like this: ...
245 views

### Formerly profitable algorithmic trading strategies?

Since algorithmic trading strategies often stop being profitable after a while, I wonder if any such formerly profitable strategies have been made public, and if so, where can I find them?
1k views

### How long do algorithmic trading strategies typically remain profitable?

As I understand it, an algorithmic trading strategy could lose profitability, if, for example: it's rediscovered by others employee turnover leaks the strategy to others market conditions change ...
16 views

In the absence of quotes data, I'm looking to calculate the realized bid-ask spread using (high-frequency) transactions data. Is there a standard method of doing this? Many thanks.
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### modeling example for price changes using HFT data

In Rue S. Tsay’s Time Series book, a decomposition method is described for analyzing price changes using HFT trade data. A change is modeled using the following variables, A indicates price change ...
74 views

### queue position value in all limits in the book

How would you evaluate the value of an order in a given limit at a given queue position in the order book ? For example let's say I am a market maker in BTC-USD and I would like to play some HFT games ...
91 views

### Mechanism for Tick Rule for Trade Classification

I see a few papers using the following tick test to classify a trade as buy/sell initiated trades: compare a trade price to the previous differing trade price, if the current price is higher/lower, ...
105 views

### How to model financial HFT time-series data with multi scale autocorrelation

I work with tick level time-series univariate prices data. Tick level means that there are hundreds to thousands observations per second. The observations are timestamped, so one can use both wall ...
241 views

### Can someone explain to me the square root law of market impact?

The square root law is shown here: Market impact, why square root? Let's say I want to execute 100 lots. But I have never executed before so I have no idea what n is historically. How would I ...
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### Calculation of 5-minute returns

My goal is time series clustering, I would like to compare 5 minute returns, liquidity seems to be very low sometimes, so is it better idea to calculate average volume weighted price in 5 minute ...
105 views

### Optimal bandwidth for Realized Kernel

If I want to estimate Realized Kernel for 1 min bins, is there a way to compute the optimal bandwidth? In the reference paper: Realised Kernels in Practice: Trades and Quotes (Ole Barndoff-Nielsen et ...
191 views

### Complexity of using balanced-tree to model order book

I have bene researching on the best data structure to implement a limit order book. Some of the most common implementations include arrays and balanced trees. This link has a good set of references. ...
88 views

### modeling the volume of TOB of a LOB

In Limit Order Books, orders at the same price are grouped and I call this group of orders a "price level"(I don't know if there's a name in literature). The total volume in this price level ...
70 views

### aggregate and convert tick-by-tick using fx data

I have tick-by-tick data of an asset X denominated in EUR and minute-by-minute data on EURUSD. If I wanted to convert my tick-by-tick data to USD would it make sense to just consider every bucket of ...
144 views

I am currently interested in doing some research on short term/intraday momentum trading strategies (highly liquid large cap stocks), especially to test if there are profitable strategies on higher ...
151 views

### Should Fama-French coefficients be calculated with daily or monthly returns?

I noticed when I regress the return of a portfolio on the Fama French 3 factor model that the value and the statistical significance of the coefficients vary when I use daily versus monthly portfolio ...
284 views

### Decode stock market data from C++

As practice, I have been wanting to parse exchange data and try to build an order book algorithm on my own. I found some sample data from NYSE: ftp://ftp.nyse.com/Real%20Time%20Data%20Samples/NYSE%...
389 views

### What are the main types of orders on an exchange?

I'm currently reading Michael Lewis' Flash Boys, which is about high-frequency trading. It was published in 2014 and it says that there are 150 types of orders on exchanges (mainly built for HTF ...
25 views

### How to get daily S&P500 dividend and CPI data?

For a project where I'm modelling asset prices using heterogeneous dividend expectatations, I want to investigate the effect of the COVID-19 virus. This means I'm looking at daily stock price data ...
129 views

### realized correlation estimation

I'm trying to implement the Hayashi - Yoshida estimator for correlation (T. Hayashi, N. Yoshida: On covariance estimation of non-synchronously observed diffusion processes, 2005) and there's something ...
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I recently studied and implemented the intraday periodicity model of Andersen and Bollerslev from here. https://www.sciencedirect.com/science/article/abs/pii/S0927539897000042 The seasonality ...
175 views

### How to detect price anomalies in HFT?

Let's say I'm developing an HFT application and seeking arbitrage in futures markets between MAY contract(M) and JUNE contract(J). In this strategy, my spread is ...
278 views

### How to propertly change time horizon in Avellaneda-Stoikov model?

I'm working in the Avellaneda-Stoikov implementation using Python. My implementation reproduces the authors' results, but I don't know how to properly adapt the algorithm in order to consider a larger ...
101 views

### Align volume bars for multivariate analysis

Looking at the book "Advances in financial machine learning" the author proposes a way to sample high frequency financial data in several fashions which are not only the standard time bars. I was ...
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### Why is C/C++ used by researchers to develop and test algorithmic trading strategies?

I understand why compiled languages such as C/C++ are important for low-latency trading infrastructure. But I am curious why even researchers at the high-frequency trading firms also require a strong ...
125 views

### Competitive levels in Limit Order Books

I've been doing some research on electronic Limit Order Books (mainly equities) and I was wondering if anyone has seen a paper on how to compute competitive limit order prices. By competitive, I mean ...
506 views

I am extremely new to the field of high-frequency trading. I have been trying to read a ton of materials out there to understand the general workflow. I have very basic knowledge of different concepts ...
197 views

### Market Making constant volatility assumption

I have read a few papers on market making and all(nearly) assume that the stock follows a brownian motion with no drift and constant volatility.These assumptions seems un-intuitive to me because of ...
130 views

### Futures vs. spot forecasting

If i have the belief that the futures lead the spot for price discovery, and I am able to forecast the future prices, given this forecast, what would be the best way to back out this number such that ...
157 views

### Cleaning of high-frequency data

In the paper "Realized kernels in practice: trades and quotes" by O. E.Bandorff-Nielsen etc. cf. https://onlinelibrary.wiley.com/doi/full/10.1111/j.1368-423X.2008.00275.x in the section dedicated to ...
107 views

### TeaFile discrete logic - how to write [closed]

I have been working with TeaFile from discreteLogic and I'm strugling to understand how i can insert data inside a file. Let's take this example: ...
1k views

### How to understand micro-price (aka, weighted mid-price)?

The definition of micro-price is S = Pa * Vb / (Va + Vb) + Pb * Va / (Va + Vb) where Pa is the ask price, ...
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### Ultra high frequency TSRV

I'd like to verify my approach to calculate high-frequency RV estimator, as introduced in Ait-Sahalia, Myklad, Zhang 2011. After reading the paper a couple of times, it seems to me, that the only ...
108 views

### How to weigh computational cost of updating an online predictive model for latency-constrained trading (e.g., market making, HFT)?

Say one has a predictive online model for market making or HFT (or just for anything strictly latency-constrained). In my specific example, I start with a Gaussian distribution over the "true value" ...
54 views

### TSRV parameters selection

I'm thinking about how to select the $J$, and particularly, $K$ parameters for the Two Scale Realized Volatility estimation? I cannot find any reference for that in the original paper - there it says \$...
73 views

### HAR-RV model for predicting 1-min volatility

I would like to use HAR-RV model (Heterogenous AutoRegressive - Realized Volatility) to predict a 1 minute realised volatility using the HAR model. As regressors I intend to use RV of previous minute, ...
282 views

### Should a high-frequency market-making fair value be a point or bid/offer pair?

A single micro-price (e.g., volume weighted mid adjusted for recent trades) is simpler and can be used for pricing both our bid and our offer. But a bid fair and an offer fair have the desirable ...
212 views

### model high frequency bitcoin volatility

I am trying to model volatility of 1-minute returns of BTC, but it seems to me that the data do not behave traditionally. I tried fitting GARCH, eGARCH with ARMA (1,1) or (2,0), but I am not confident ...
67 views

### how to model NGARCH using 5min frequency data?

NGARCH model using 5-min High-frequency data in R I wanted to analyze some 5 minute frequency data of stock market. My teacher asked me to use NGARCH to model, but I didn't know how to program.Here ...
141 views

### Modelling Order Flow

I am trying to model the number of order that come at a distance d from the top of the book on either side, both bid and ask. I was wondering what is a good way to model orders which improve the ...
73 views

### Why does an exchange (IEX) need connection to other exchanges (like information about average prices)?

I have read "flash boys". The author describes how the Royal Bank of Canada uses THOR and an own SIP against certain practices of flash traders. I understand why a bank or a broker can make beneficial ...
8k views

### What mathematical theory is required for high frequency trading?

I am an applied math postdoc and I have been presented with the option of leaving academia to work in high frequency trading. I wanted to get a feel for the field and the theory underlying it so I ...