On the Pricing and Investment Implications of the High Frequency Trading Information

Project Details


The first part of this proposal aims to take advantage of the structure change of market design that taken place in January 2001 in Taiwanese Futures market and respond to the debates. We observed a regime shift from executing a batch call auction by every 10 seconds into a limit order book trading system. A regime change in trading system like that obviously provide a natural social experiment for resolving the debates over which system is better in its own induced social benefits and costs, along with various market quality measurements. Such an empirical examination is important in spirit since this is the chance to bring up our special feature in institutional system in Taiwan to respond to the current academic debates of market structure design. The second parts of our project disentangles the possibilities to employ information from high frequency trading to form up profitable signal in technical analysis as well as in cross-sectional portfolio selections. We examine several newly defined measures to highlight their empirical validity.
Effective start/end date1/08/1631/12/17

UN Sustainable Development Goals

In 2015, UN member states agreed to 17 global Sustainable Development Goals (SDGs) to end poverty, protect the planet and ensure prosperity for all. This project contributes towards the following SDG(s):

  • SDG 13 - Climate Action
  • SDG 17 - Partnerships for the Goals


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