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The performance of selected high-frequency trading proxies: An application on Turkish index futures market

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  • Olgun, Onur
  • Ekinci, Cumhur
  • Arıkan, Ramazan

Abstract

This paper intends to provide evidence for how well high-frequency trading (HFT) proxies capture low-latency activity in rarely explored futures markets. We first run suggested identification algorithms using tick-by-tick order and trade message data to derive models’ HFT estimates. Contrasting these with Exchange-provided classification tags (considered as real HFT messages), we interpret the soundness and consistency of these proxies with regard to various reference metrics through an empirical mindset. Our results suggest that certain proxies track low-latency behavior better than others affirming their given credits of reliable HFT identifiers in practice.

Suggested Citation

  • Olgun, Onur & Ekinci, Cumhur & Arıkan, Ramazan, 2024. "The performance of selected high-frequency trading proxies: An application on Turkish index futures market," Finance Research Letters, Elsevier, vol. 65(C).
    • Handle: RePEc:eee:finlet:v:65:y:2024:i:c:s1544612324005531
    DOI: 10.1016/j.frl.2024.105523
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    More about this item

    Keywords

    High-frequency trading (HFT); HFT proxy; Market microstructure; Borsa Istanbul; Futures;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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