Abstract

http://ssrn.com/abstract=2034858
 
 

Citations (6)



 


 



The Volume Clock: Insights into the High Frequency Paradigm


David Easley


Cornell University - Department of Economics

Marcos Lopez de Prado


Guggenheim Partners, LLC; Lawrence Berkeley National Laboratory; Harvard University - RCC

Maureen O'Hara


Cornell University - Samuel Curtis Johnson Graduate School of Management

March 30, 2012

The Journal of Portfolio Management, (Fall, 2012) Forthcoming
Johnson School Research Paper Series No. 9-2012

Abstract:     
Over the last two centuries, technological advantages have allowed some traders to be faster than others. We argue that, contrary to popular perception, speed is not the defining characteristic that sets High Frequency Trading (HFT) apart. HFT is the natural evolution of a new trading paradigm that is characterized by strategic decisions made in a volume-clock metric. Even if the speed advantage disappears, HFT will evolve to continue exploiting Low Frequency Trading’s (LFT) structural weaknesses. However, LFT practitioners are not defenseless against HFT players, and we offer options that can help them survive and adapt to this new environment.

Number of Pages in PDF File: 23

Keywords: high frequency trading, volume clock, low frequency trading, market microstructure

JEL Classification: G10

Accepted Paper Series





Download This Paper

Date posted: April 5, 2012 ; Last revised: August 20, 2012

Suggested Citation

Easley, David and Lopez de Prado, Marcos and O'Hara, Maureen, The Volume Clock: Insights into the High Frequency Paradigm (March 30, 2012). The Journal of Portfolio Management, (Fall, 2012) Forthcoming ; Johnson School Research Paper Series No. 9-2012. Available at SSRN: http://ssrn.com/abstract=2034858 or http://dx.doi.org/10.2139/ssrn.2034858

Contact Information

David Easley (Contact Author)
Cornell University - Department of Economics ( email )
414 Uris Hall
Ithaca, NY 14853-7601
United States
607-255-6283 (Phone)
607-255-2818 (Fax)
Marcos Lopez de Prado
Guggenheim Partners, LLC ( email )
330 Madison Avenue
New York, NY 10017
United States
HOME PAGE: http://www.QuantResearch.info
Lawrence Berkeley National Laboratory ( email )
One Cyclotron Road
Berkeley, CA 94720
United States
HOME PAGE: http://www.lbl.gov
Harvard University - RCC ( email )
26 Trowbridge Street
Cambridge, MA 02138
United States
HOME PAGE: http://www.rcc.harvard.edu
Maureen O'Hara
Cornell University - Samuel Curtis Johnson Graduate School of Management ( email )
Ithaca, NY 14853
United States
607-255-3645 (Phone)
607-255-5993 (Fax)
Feedback to SSRN


Paper statistics
Abstract Views: 19,875
Downloads: 6,013
Download Rank: 531
Citations:  6

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo6 in 0.312 seconds