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High Frequency Trading and the Impact of Volume-Duration on Market Quality in the U.S. Futures Markets.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	High Frequency Trading and the Impact of Volume-Duration on Market Quality in the U.S. Futures Markets./
Author:	Xu, Xiaoruo.
Description:	1 online resource (117 pages)
Notes:	Source: Dissertations Abstracts International, Volume: 84-11, Section: A.
Contained By:	Dissertations Abstracts International84-11A.
Subject:	Finance. -
Online resource:	click for full text (PQDT)
ISBN:	9798379546069

High Frequency Trading and the Impact of Volume-Duration on Market Quality in the U.S. Futures Markets.
Xu, Xiaoruo.

High Frequency Trading and the Impact of Volume-Duration on Market Quality in the U.S. Futures Markets. - 1 online resource (117 pages)

Source: Dissertations Abstracts International, Volume: 84-11, Section: A.

Thesis (Ph.D.)--Illinois Institute of Technology, 2023.

Includes bibliographical references

This paper examines the impact of High Frequency Trading (HFT) on market quality in the U.S. futures market through the lens of Adjusted Volume-Durations (AVD). By using the unique nanosecond level TAQ CME datasets of commodities futures in 2018, which include Crude Oil, E-mini S&P 500, Eurodollar, Gold, Corn and Soybean, I create the AVDs of each dataset, then conduct the regression analysis on market quality variables with the independent variables including AVDs and other key variables, and the results show that as AVD decreases, the market quality deteriorates, thus HFT positively affects market quality in the U.S. futures market. In order to explore the main driver of AVD on market quality in the futures market, I use the Autoregressive Conditional Duration Model to decompose AVDs into expected AVDs (AEVD), which is the component of AVD that is influenced by past AVDs and unexpected AVDs (AUVD), which is the component of AVD that is not captured by past AVDs but by unanticipated events, and then conduct the regression analysis on market quality variables with the independent variables including AEVD, AUVD and other key variables. The result shows that AEVD has a higher impact on liquidity than AUVD, but the impact of AEVD and AUVD on volatility is mixed in the U.S. futures market. However, except for the conclusions get from the based multivariate regression results, I also explain why there are some outliers for the Eurodollar, soybean and gold, and why HFT has more explicit impact on agricultural futures market.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2024

Mode of access: World Wide Web

ISBN: 9798379546069Subjects--Topical Terms:

559073
Finance.
Subjects--Index Terms:

Autoregressive Conditional DurationIndex Terms--Genre/Form:

554714
Electronic books.

High Frequency Trading and the Impact of Volume-Duration on Market Quality in the U.S. Futures Markets.
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520 $a This paper examines the impact of High Frequency Trading (HFT) on market quality in the U.S. futures market through the lens of Adjusted Volume-Durations (AVD). By using the unique nanosecond level TAQ CME datasets of commodities futures in 2018, which include Crude Oil, E-mini S&P 500, Eurodollar, Gold, Corn and Soybean, I create the AVDs of each dataset, then conduct the regression analysis on market quality variables with the independent variables including AVDs and other key variables, and the results show that as AVD decreases, the market quality deteriorates, thus HFT positively affects market quality in the U.S. futures market. In order to explore the main driver of AVD on market quality in the futures market, I use the Autoregressive Conditional Duration Model to decompose AVDs into expected AVDs (AEVD), which is the component of AVD that is influenced by past AVDs and unexpected AVDs (AUVD), which is the component of AVD that is not captured by past AVDs but by unanticipated events, and then conduct the regression analysis on market quality variables with the independent variables including AEVD, AUVD and other key variables. The result shows that AEVD has a higher impact on liquidity than AUVD, but the impact of AEVD and AUVD on volatility is mixed in the U.S. futures market. However, except for the conclusions get from the based multivariate regression results, I also explain why there are some outliers for the Eurodollar, soybean and gold, and why HFT has more explicit impact on agricultural futures market.
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