How high frequency trading affects a market index.
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ABSTRACT:
SUBMITTER: Kenett DY
PROVIDER: S-EPMC3743071 | biostudies-literature | 2013
REPOSITORIES: biostudies-literature
Publications
How high frequency trading affects a market index.
Kenett Dror Y DY Ben-Jacob Eshel E Stanley H Eugene HE Gur-Gershgoren Gitit G
Scientific reports 20130101
The relationship between a market index and its constituent stocks is complicated. While an index is a weighted average of its constituent stocks, when the investigated time scale is one day or longer the index has been found to have a stronger effect on the stocks than vice versa. We explore how this interaction changes in short time scales using high frequency data. Using a correlation-based analysis approach, we find that in short time scales stocks have a stronger influence on the index. The ...[more]
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