How High Frequency Trading Affects a Market Index
作者： Dror Y. Kenett , Eshel Ben-Jacob , H. Eugene Stanley , Gitit gur-Gershgoren
DOI: 10.1038/SREP02110
关键词:
摘要: The relationship between a market index and its constituent stocks is complicated. While an weighted average of stocks, when the investigated time scale one day or longer has been found to have stronger effect on than vice versa. We explore how this interaction changes in short scales using high frequency data. Using correlation-based analysis approach, we find that influence index. These findings implications for trading suggest price should be published shorter scales, as close possible those actual transaction scale.
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