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Analysis of Limit Orders by High-Frequency Traders in Tokyo Stock Exchange [in Japanese]

Masanori HIRANO, Kiyoshi IZUMI, Hiroyasu MATSUSHIMA, Hiroki SAKAJI, Takashi SHIMADA

The 33rd Annual Conference of the Japanese Society for Artificial Intelligence, June 5, 2019


Conference

The 33rd Annual Conference of the Japanese Society for Artificial Intelligence

Abstract

This study aimed to analyze the order behavior by High-frequency traders (HFT) called market making (MM) strategy. We used the order data of Tokyo Stock Exchange provided by Japan Exchange Group, Inc.. Firstly, we preprocessed the order data for merging virtual server used by the same traders. Secondly, we did a cluster analysis of traders based on some indexes indicating features of their trading strategy and extracted HFT-MM traders. Then, we calculated how many ticks their ordering price is far from the last executed price. As a result, we found some of their orders were placed at quite far (5-10 ticks) price from the last executed price for HFT-MM. This result means they mixed some strategies other than market making strategy and the strategies, possibly, will cause the unstabilizing effect when the market price is very fluctuating.

Keywords

High-Frequency Trading; Stock Exchange; Market Making Strategy; Clustering;

doi

10.11517/pjsai.JSAI2019.0_2O1J1304


bibtex

@inproceedings{Hirano2019-jsai33,
  title={{Analysis of Limit Orders by High-Frequency Traders in Tokyo Stock Exchange [in Japanese]}},
  autor={Masanori HIRANO and Kiyoshi IZUMI and Hiroyasu MATSUSHIMA and Hiroki SAKAJI and Takashi SHIMADA},
  booktitle={The 33rd Annual Conference of the Japanese Society for Artificial Intelligence},
  pages={2O1-J-13-04},
  doi={10.11517/pjsai.JSAI2019.0_2O1J1304},
  year={2019}
}