Identifying HFT activity without proprietary data

UNIVERSITY OF TECHNOLOGY SYDNEY
Finance Department
Research Seminars in Finance

Roberto Pascual

Topic: Identifying HFT Activity Without Proprietary Data

Speaker: Roberto Pascual, University of the Balearic Islands

Abstract: Public trade and quote databases do not typically include high frequency trader (HFT) identifiers, so researchers develop proxies. We assess the reliability of the popularly used proxies by benchmarking them against measures using proprietary data with HFT identifiers. All proxies are highly correlated among themselves and can identify HFT activities in general and their liquidity-demanding and supplying functions. Even during unusually high and/or low HFT liquidity-demand or supply episodes the proxies perform well. The reliability of the proxies does not depend on the time windows used to aggregate data. Hasbrouck and Saar’s 2013, Strategic Runs proxy best isolates HFT-specific activities. These results can help researchers identify HFT activity in the absence of proprietary data.

Moderator: Ester Felez Vinas, University of Technology Sydney

Date: Wednesday, 19th May 2021
Time: 5-6 pm (Australian Eastern Standard Time)
Venue: This is on online Zoom webinar.

Seminar protocols:

  • The webinar will run for 45 minutes, followed by a 15 minute Q&A session.
  • There will be a moderator for each seminar event, who will facilitate communication and resolve any technical issues.
  • Participants can use the chat facility or raise their had to ask questions during the presentation. The moderator will then alert the speaker at the appropriate time and either ask the questions raised or unmute the participant so they can ask the question directly to the presenter.

Co-ordinator: Harry Scheule

Enquiries: Duncan Ford

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