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Can High-Frequency Traders Game Futures? [Aldridge]

Fri, 02 Mar 2012 04:29:58 GMT


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 


Submitted to the Journal of Trading

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