Empirical Limitations on High-Frequency Trading Profitability

Michael Kearns; Alex Kulesza; Yuriy Nevmyvaka

doi:10.3905/jot.2010.5.4.050

Empirical Limitations on High-Frequency Trading Profitability

Michael Kearns, Alex Kulesza and Yuriy Nevmyvaka

The Journal of Trading Fall 2010, 5 (4) 50-62; DOI: https://doi.org/10.3905/jot.2010.5.4.050

Michael Kearns

is a professor of computer and information science at the University of Pennsylvania in Philadelphia, PA.

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For correspondence: mkearns@cis.upenn.edu

Alex Kulesza

is a graduate student in computer and information science at the University of Pennsylvania in Philadelphia, PA.

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For correspondence: kulesza@cis.upenn.edu

Yuriy Nevmyvaka

is a portfolio manager at a quantitative hedge fund and a research associate in computer and information science at the University of Pennsylvania in Philadelphia, PA.

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For correspondence: yuriy2@seas.upenn.edu

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Empirical Limitations on High-Frequency Trading Profitability