Abstract

http://ssrn.com/abstract=2013789
 
 

References (31)



 


 



High-Frequency Technical Trading: The Importance of Speed


Martin L. Scholtus


Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute; Tinbergen Institute

Dick J. C. Van Dijk


Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute; ERIM

February 28, 2012

Tinbergen Institute Discussion Paper 12-018/4

Abstract:     
This paper investigates the importance of speed for technical trading rule performance for three highly liquid ETFs listed on NASDAQ over the period January 6, 2009 up to September 30, 2009. In addition we examine the characteristics of market activity over the day and within subperiods corresponding to hours, minutes, and seconds. Speed has a clear impact on the return of technical trading rules. For strategies that yield a positive return when they experience no delay, a delay of 200 milliseconds is enough to lower performance significantly. On low volatility days this is already the case for delays larger than 50 milliseconds. In addition, the importance of speed for trading rule performance increases over time. Market activity follows a U-shape over the day with a spike at 10:00AM due to macroeconomic announcements and is characterized by periodic activity within the day, hour, minute, and second.

Number of Pages in PDF File: 63

Keywords: technical trading, high-frequency trading, latency costs, trading speed, market activity

JEL Classification: G10, G14, G20

working papers series


Download This Paper

Date posted: March 2, 2012  

Suggested Citation

Scholtus, Martin L. and van Dijk, Dick J. C., High-Frequency Technical Trading: The Importance of Speed (February 28, 2012). Tinbergen Institute Discussion Paper 12-018/4. Available at SSRN: http://ssrn.com/abstract=2013789 or http://dx.doi.org/10.2139/ssrn.2013789

Contact Information

Martin Laurens Scholtus (Contact Author)
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute ( email )
P.O. Box 1738
3000 DR Rotterdam
Netherlands
Tinbergen Institute ( email )
P.O. Box 1738
3000 DR Rotterdam
Netherlands
Dick J.C. Van Dijk
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
P.O. Box 1738
3000 DR Rotterdam
Netherlands
ERIM ( email )
P.O. Box 1738
3000 DR Rotterdam
Netherlands
+31 10 408 1263 (Phone)
+31 10 4089162 (Fax)
HOME PAGE: http://people.few.eur.nl/djvandijk
Feedback to SSRN


Paper statistics
Abstract Views: 3,487
Downloads: 921
Download Rank: 12,503
References:  31

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo2 in 0.375 seconds