Topical Collection "High-Frequency Finance"

A topical collection in Journal of Risk and Financial Management (ISSN 1911-8074). This collection belongs to the section "Economics and Finance".

Editors

Prof. Dr. Tony Wirjanto
E-Mail Website
Guest Editor
1. School of Accounting & Finance (SAF), Faculty of Arts, University of Waterloo, Waterloo, ON N2L 3G1, Canada
2. Department of Statistics & Actuarial Science (SAS), Faculty of Mathematics, University of Waterloo, Waterloo, ON N2L 3G1, Canada
Interests: financial econometrics/time-series; mathematical finance; computational finance; business finance
Prof. Dr. Richard Olsen
E-Mail Website
Guest Editor
Lykke Corp., 6300 Zur, Switzerland
Interests: market microstructure, scaling laws, intrinsic time, trading and forecasting models; risk management; system theory; blockchain; crypto and digital markets

Topical Collection Information

Dear Colleagues,

Collecting and analyzing high-frequency data in finance began in earnest in the late eighties at  Olsen and Associates. This effort is culminated in a well-cited textbook: An Introduction to High-Frequency Finance, Academic Press, 2001, by Michel Dacorogna, Ramazan Gençay, Ulrich A. Muller, Richard Olsen, and Olivier Pictet. Professor Ramo Gençay unexpectedly passed away in December 2018. This Special Issue is dedicated to his memory and to the recognition of his immense contribution in this area.

Access to high-frequency financial data eventually led to the emergence of high-frequency trading (HFT), and with it, a whole host of studies about HFT. We are now accustomed to viewing markets as being populated by heterogeneous market agents. We also now welcome the idea that the traditional role of financial markets as a price discovery process has been challenged by HFT. Some thirty years later, HFT represents about 80% of the activity of the main exchanges in financial markets. Financial markets have witnessed episodes of flash crashes.  Trading occurs at a much more accelerated speed because of technological improvements associated with HFT. Yet, the market structure has become ever more relevant nowadays.

The purpose of this Special Issue is to invite the submission of research articles on (but not limited to) the following broad themes:

  • Market micro-structure and effects of high-frequency trading
  • Market flash crashes from a high-frequency financial data perspective
  • Modelling correlations in asynchronous high-frequency financial data
  • Short-term volatility and movement in HFT
  • Effects of regulations on HFT trading

Prof. Dr. Tony Wirjanto
Prof. Dr. Richard Olsen
Guest Editors

Manuscript Submission Information

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Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1200 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • High frequency trading
  • Market microstructure
  • Algorithmic trading
  • High-resolution
  • Realized volatility models
  • Intraday correlations
  • Dynamic dependencies
  • Asynchronicity
  • Microstructure noise
  • Price impact
  • Burst
  • Tick size
  • Market quality

Published Papers

This collection is now open for submission.
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