https://xumj2021.github.io/tags/high-frequency/ Recent content in High Frequency on Democratize Data For Insights Hugo en-us Fri, 03 Dec 2021 00:00:00 +0000 https://xumj2021.github.io/post/deal-with-high-frequency-data/ Fri, 03 Dec 2021 00:00:00 +0000 https://xumj2021.github.io/post/deal-with-high-frequency-data/ <h2 id="i-motivation">I. Motivation</h2> <p>High-frequency traders (HFTs) are market participants that are characterized by the high speed (typically in milliseconds level) with which they react to incoming news, the low inventory on their books, and the large number of trades they execute (SEC, 2010). According to Breckenfelder (2019, WP), The high-frequency trading industry grew rapidly since its inception in the mid-2000s and has represented about 50% of trading in US equity markets by 2017 (down from a 2009 peak, when it topped 60%).</p>