Can Machine Learning Unlock New Insights into High-Frequency Trading?
Can Machine Learning Unlock New Insights into High-Frequency Trading?
We design and train machine learning models to capture the nonlinear interactions between financial market dynamics and high-frequency trading (HFT) activity. In doing so, we introduce new metrics to identify liquidity-demanding and -supplying HFT strategies. Both types of HFT strategies increase activity in response to information events and decrease it …