Published August 31, 2013
| Version v1
Journal article
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High Frequency Trading of Brent Crude Price
Authors/Creators
- 1. International Business School Suzhuo, IBSS Xi"an Jiaotong-Liverpool University Suzhou, China
- 2. National University of Singapore
Description
A review of high-frequency and pair trading on Brent crude oil is performed, followed by a proposal of empirical study. The oil market is faced with high levels of which makes it appropriate for this investigation. The objective is to investigate the literature on both high-frequency and pair trading and confirmed its predictive power as an investment tool. Our findings showed that although high-frequency trading had increased in the stock market but they are not significant in other commodity markets, due to its higher liquidity requirements.