Can High-Frequency Traders Game Futures?
Journal of Trading, Forthcoming
Posted: 5 Feb 2012 Last revised: 8 Mar 2012
Date Written: January 3, 2012
This article describes a simple test to assess the feasibility of high-frequency “pump-and-dump” arbitrage. Using the tick data for Eurex Eurobund futures for 2009-2010 period, the article shows practical implementation of the test. The Eurobund futures data does not support feasibility of high frequency pump-and-dump. The data instead shows that Eurobund futures are resilient to large trade sizes, a welcome feature for large institutional investors concerned about quality of execution of their orders in the presence of high frequency traders.
Keywords: high-frequency trading, futures, arbitrage, Eurobund, HFT, large orders, market impact
JEL Classification: G12
Suggested Citation: Suggested Citation