How High Frequency Trading Affects a Market Index
The relationship between a market index and its constituent stocks is complicated. While an index is a weighted average of its constituent stocks, when the investigated time scale is one day or longer the index has been found to have a stronger effect on the stocks than vice versa. We explore how th...
| Main Authors: | , , , |
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| Format: | Online |
| Language: | English |
| Published: |
Nature Publishing Group
2013
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| Online Access: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3743071/ |