A new approach for detecting high-frequency trading from order and trade data

Ekinci C. E., Ersan O.

Finance Research Letters, cilt.24, ss.199-220, 2018 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 24
  • Basım Tarihi: 2018
  • Doi Numarası: 10.1016/j.frl.2017.09.020
  • Dergi Adı: Finance Research Letters
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.199-220
  • Anahtar Kelimeler: High-frequency trading (HFT), HFT detection, Low latency trading, Borsa Istanbul
  • İstanbul Teknik Üniversitesi Adresli: Evet

Özet

© 2017 Elsevier Inc.We suggest a two-step approach in detecting HFT activity from order and trade data. While the first step focuses on multiple actions of an order submitter in low latency, the second searches for the surroundings of these orders to link related orders. On a sample of 2015 data from Borsa Istanbul, we estimate that average HFT involvement is 1.23%. HFT activity is generally higher in large cap stocks (2.88%). Most HFT orders are in the form of very rapidly canceled order submissions. A robustness check reveals a mean accuracy rate of 97% in the linkage of orders.