Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/87533
Authors: 
Scholtus, Martin
van Dijk, Dick
Year of Publication: 
2012
Series/Report no.: 
Tinbergen Institute Discussion Paper 12-018/4
Abstract: 
This paper investigates the importance of speed for technical trading rule performance for three highly liquid ETFs listed on NASDAQ over the period January 6, 2009 up to September 30, 2009. In addition we examine the characteristics of market activity over the day and within subperiods corresponding to hours, minutes, and seconds. Speed has a clear impact on the return of technical trading rules. For strategies that yield a positive return when they experience no delay, a delay of 200 milliseconds is enough to lower performance significantly. On low volatility days this is already the case for delays larger than 50 milliseconds. In addition, the importance of speed for trading rule performance increases over time. Market activity follows a U-shape over the day with a spike at 10:00AM due to macroeconomic announcements and is characterized by periodic activity within the day, hour, minute, and second.
Subjects: 
Technical Trading
High-Frequency Trading
Latency Costs
Trading Speed
Market Activity
JEL: 
G10
G14
G20
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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