RT Journal Article
SR Electronic
T1 The Volume Clock: Insights into the
High-Frequency Paradigm
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 19
OP 29
DO 10.3905/jpm.2012.39.1.019
VO 39
IS 1
A1 David Easley
A1 Marcos M. López de Prado
A1 Maureen O’Hara
YR 2012
UL https://pm-research.com/content/39/1/19.abstract
AB Over the last two centuries, technological advantages have allowed some traders to be faster than others. In this article, the authors argue that contrary to popular perception, speed is not the defining characteristic that sets high-frequency trading (HFT) apart. HFT is the natural evolution of a new trading paradigm that is characterized by strategic decisions made in a volume-clock metric. Even if the speed advantage disappears, HFT will evolve to continue exploiting structural weaknesses of low-frequency trading (LFT).LFT practitioners are not defenseless against HFT players, however, and this article offers options that can help them survive and adapt to this new environment.TOPICS: Portfolio management/multi-asset allocation, exchanges/markets/clearinghouses, performance measurement