High Frequency Trading: A Simulation
نویسندگان
چکیده
for t = 1, ..., N . σ represents the volatility of the price, and ξk ∼ N (0; 1). ht represents the net sale volumes of all liquid providing HFT funds. g(v) is the price impact function, which we will discuss later. Based on findings by the Federal Commodity Futures Trading Commission (CFTC) [3], we model the price impact of HFTs using the volume of net trades from HFTs scaled by its percentage in overall trading volume (denoted as vt in Eq. 1). We also establish a drifting factor in our model δ, which represents the directional change of price due to market conditions, external sell pressures, etc. In the following content, we define a market crash as a change of price in 10% or more in a 30-minute period.
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