The Portfolio Role of High-Frequency Hedge Funds

@inproceedings{Abbink2011ThePR,
  title={The Portfolio Role of High-Frequency Hedge Funds},
  author={John B. Abbink},
  year={2011}
}
It is not obvious why trading over short time horizons should have a different return profile than those of more leisurely strategies applied to the same instruments. But the distinctiveness of directional high-frequency trading strategies is apparent when it is recognized that the source of their returns differs from that of longer-term strategies. Given sufficient diversification, high-frequency funds offer a more-effective form of market neutrality than is achievable by most market-neutral… CONTINUE READING