Taking both long and short positions to exploit relative mispricings.
This paper studies how High-Frequency Traders (HFTs) and Market Makers behaved during the Flash Crash of May 6, 2010. It shows that HFTs didn’t cause the crash—but also didn’t help stabilize it. They traded fast and in the same direction as prices, while traditional market makers pulled back.
This paper reveals that high-frequency trading (HFT) is not one big strategy—but three distinct types. It shows that when HFTs compete in market-making, volatility actually goes down, and smaller exchanges become more viable.
This paper shows that in high-frequency trading (HFT), milliseconds matter. The fastest firms earn the majority of profits, not because they make better trades—but because they make more of them, faster. Speed wins.
High-frequency traders (HFTs) often compete with large institutional trades, raising execution costs for informed orders. This paper shows that when HFT speed is restricted, price impact drops—especially for skilled institutional traders.
This paper shows that high-frequency traders use their speed to crowd out slower traders from the most profitable limit order executions. They exploit fleeting imbalances in the order book and withdraw when risk increases—leaving slower traders with poor fills.
Macroeconomic uncertainty isn’t just noise—it reshapes bond risk premia and pricing.
This paper shows that cryptocurrency prices can be much higher in some countries than others. These price gaps happen because of restrictions on moving money between countries, not because of problems with the cryptocurrencies themselves.
During financial crises, hedge funds and commodity index traders (CITs) offload positions as volatility rises, forcing commercial hedgers to absorb risk. This “risk convection” disrupts markets, creating trading opportunities based on liquidity shifts.
Performance * Basis-momentum is the strongest predictor of commodity returns, outperforming traditional factors like basis and momentum. * A long-short strategy based on basis-momentum earns an 18.38% annualized return with a Sharpe ratio of 0.9. * The strategy captures both spot
Gold’s returns are predictable using volatility and risk factors, but it doesn’t always act as a safe haven or inflation hedge. Instead, gold moves with stocks and bonds, though its actual returns can diverge in crises.
The study finds that inflation and industrial growth predict commodity prices, while stocks lead commodities by a month in downturns. Futures trading makes markets more efficient but increases volatility after introduction and during crises.
Equity market factors like size, profitability, and past returns can predict corporate bond returns,