Abstract
This article describes a simple test to assess the feasibility of highfrequency “pump-and-dump” arbitrage. Using the tick data for Eurex Eurobund futures for the 2009–2010 period, the article shows practical implementation of the test. The Eurobund futures data do not support the feasibility of high-frequency pump and dump. The data instead show that Eurobund futures are resilient to large trade sizes, a welcome feature for large institutional investors concerned about the quality of execution of their orders in the presence of high-frequency traders.
- © 2012 Pageant Media Ltd
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Can High-Frequency Traders Game Futures?
