High-Frequency Technical Trading: The Importance of Speed

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Tinbergen Institute Discussion Paper ; No. 12-018/4

Classification and Topics

• Classification: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Information and Market Efficiency; Event Studies; Insider Trading ; Financial Institutions and Services: General
• Subject: Technical Trading ; High-Frequency Trading ; Latency Costs ; Trading Speed ; Market Activity ; Spekulation ; Elektronisches Handelssystem ; Dauer ; Handelsvolumen der Börse ; USA

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Scholtus, Martin ; van Dijk, Dick
• Event: Veröffentlichung
• (who): Tinbergen Institute
• (where): Amsterdam and Rotterdam
• (when): 2012

Further information

• Handle: http://hdl.handle.net/10419/87533
• Last update: 10.03.2025, 11:45 AM CET