New HFT Study Directly Challenges Recent Academic Study

Mark Melin

Published onFebruary 6, 2014

Updated on May 13, 2021

A recently released European academic study claims that High Frequency Trading (HFT) exacerbates volatility and generates flash crashes, directly contradicting a US academic study released less than six months ago.

The paper, “Rock Around The Clock: An Agent-Based Model of Low and High Frequency Trading,” written by European academics Sandrine Leal of the ICN Business School in France, Mauro Napoletano and Andrea Roventini from Observatoire Français des Conjonctures Economiques and Giorgio Fagiolo from the Laboratory of Economics and Management takes direct aim at...

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Mark Melin

Mark Melin is an alternative investment practitioner whose specialty is recognizing the impact of beta market environment on a technical trading strategy. A portfolio and industry consultant, wrote or edited three books including High Performance Managed Futures (Wiley 2010) and The Chicago Board of Trade’s Handbook of Futures and Options (McGraw-Hill 2008) and taught a course at Northwestern University's executive education program.

New HFT Study Directly Challenges Recent Academic Study

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