High frequency trading (HFT) is the latest revolutionary force in financial markets, but good empirical data is notoriously difficult to obtain and analyze. To provide some basic insights into the effects of HFT on stock markets, this paper employs an agent-based simulation to examine the...

Statistical arbitrage is a popular trading strategy employed by hedge funds and proprietary trading desks, built on the statistical notion of cointegration to identify profitable trading opportunities. Given the revolutionary shift in markets represented by high frequency trading (HFT), it is...