Empirical Limitations on High Frequency Trading Profitability

@inproceedings{Kearns2010EmpiricalLO,
  title={Empirical Limitations on High Frequency Trading Profitability},
  author={Michael Kearns and Alex Kulesza and Yuriy Nevmyvaka},
  year={2010}
}
Addressing the ongoing examination of high-frequency trading practices in financial markets, we report the results of an extensive empirical study estimating the maximum possible profitability of the most aggressive such practices, and arrive at figures that are surprisingly modest. By “aggressive” we mean any trading strategy exclusively employing market orders and relatively short holding periods. Our findings highlight the tension between execution costs and trading horizon confronted by… CONTINUE READING
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