Quantitative Research in High Frequency Trading for Natural Gas Futures Market

Masteika, Saulius; Vaitonis, Mantas

doi:10.1007/978-3-319-26762-3_3

Cited by 5 publications

(8 citation statements)

References 7 publications

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“…The following results were obtained: Previous two experiments covered gas future contracts. Although it covered only one month of trading, it resulted in 5004987 records (Masteika and Vaitonis, 2015). To comparison, this experiment with 14 European NASDAQ Baltics region stocks for 6 months had 97032 records.…”

Section: Resultsmentioning

confidence: 99%

“…The value p(i,t) is the normalized price of asset i at time t (Perlin, 2009;Driaunys et al, 2014;Masteika and Vaitonis, 2015). Other four steps of the trading strategy are explained in the next chapter.…”

Section: Methodology For Pairs Trading Strategymentioning

confidence: 99%

“…At the end of the research, strategies were measured by taking into account the generated profit. Before selecting, these two strategies were tested in future commodity market (Masteika and Vaitonis, 2015).…”

Section: The Object Of Researchmentioning

confidence: 99%

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Pairs Trading Using HFT in OMX Baltic Market

Vaitonis¹

2017

BJMC

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Abstract. Statistical arbitrage is a popular trading strategy where a profit arises from pricing inefficiencies between securities. The idea is simple: to find two stocks that move together and take long/short positions when they diverge abnormally, hoping that the prices will converge in the future. In the previous researches, the most popular statistical arbitrage strategies were tested using high frequency gas future market data. The best performance was shown with pairs trading strategy proposed by J. Caldeira and G. V. Moura. In this paper the database for testing covers 14 OMX Baltic stocks for 6 months between 2014-10-01 and 2015-03-31. During the trading period there were no predefined pairs, thus it was necessary to incorporate a pair selection algorithm in order to find best pairs for each trading period. The contribution of this paper is to test pairs trading strategy proposed by J. Caldeira and G. V. Moura with OMX Baltic stocks and to incorporate a trading pair selection algorithm.

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Section: Resultsmentioning

confidence: 99%

Section: Methodology For Pairs Trading Strategymentioning

confidence: 99%

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Pairs Trading Using HFT in OMX Baltic Market

Vaitonis¹

2017

BJMC

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“…Trading; 6. Assessment of the pairs trading strategy (Driaunys et al, 2014;Masteika and Vaitonis, 2015;Vaitonis and Masteika, 2016). Before selecting the trading and data normalization window, every strategy must be trained.…”

Section: Methodsmentioning

confidence: 99%

“…One of the most popular is distance method, which has been analysed in the previous research (Driaunys et al, 2014;Masteika and Vaitonis, 2015;Vaitonis and Masteika, 2016). The popularity of this method may be attributed to the use of simple linear correlation coefficient as a measure of dependence which makes the implementation convenient (Lau, 2016).…”

Section: Introductionmentioning

confidence: 99%

Experimental Comparison of HFT Pair Trading Strategies using Microsecond and Nanosecond Future Commodity Contracts Data

Vaitonis¹,

Masteika²

2018

BJMC

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Abstract. Nowadays, it is not necessary for humans to conduct trade; this task is performed by trading algorithms. The speed of trading is of the most importance, however, there are relatively few aoutademic researches on the increased speed of trading from milliseconds to nanoseconds. In order to address the aforementioned shortcoming, this research measures the differences in the effectiveness of the pairs trading strategies, emerging when microsecond and nanosecond data are included. The effect of the increased speed of data is analysed. We present different pairs trading strategies and one pair selection algorithm, based on the cointegration method. These trading strategies are implemented on five different commodity futures contracts using both microsecond and nanosecond historical data. The effectiveness is measured in accordance with the profit, generated at the end of the trading period. In order to measure the effectiveness of all presented pairs trading strategies, the Sharpe Ratio method was introduced.

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Research in High Frequency Trading and Pairs Selection Algorithm with Baltic Region Stocks

Vaitonis

Masteika

2016

Communications in Computer and Information Science

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Quantitative Research in High Frequency Trading for Natural Gas Futures Market

Cited by 5 publications

References 7 publications

Pairs Trading Using HFT in OMX Baltic Market

Pairs Trading Using HFT in OMX Baltic Market

Experimental Comparison of HFT Pair Trading Strategies using Microsecond and Nanosecond Future Commodity Contracts Data

Research in High Frequency Trading and Pairs Selection Algorithm with Baltic Region Stocks

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