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Can High-Frequency Traders Game Futures? [Aldridge]

Fri, 02 Mar 2012 04:29:58 GMT

Abstract:

This article describes a simple test to assess the feasibility of high-frequency “pump-and-dump” arbitrage.  Using the tick data for Eurex Eurobund futures for 2009-2010 period, the article shows practical implementation of the test.  The Eurobund futures data does not support feasibility of highfrequency pump-and-dump.  The data instead shows that Eurobund futures are resilient to large trade sizes, a welcome feature for large institutional investors concerned about quality of execution of their orders in the presence of high frequency trader.

January 3, 2011 

DRAFT

Submitted to the Journal of Trading

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