%0 Journal Article %A Rick Cooper %A Ben Van Vliet %T Expected Return in High-Frequency Trading %D 2015 %R 10.3905/jot.2015.10.2.034 %J The Journal of Trading %P 34-40 %V 10 %N 2 %X Defining a in high-frequency trading is more complicated than in low-frequency trading since not all strategies are based on price forecasts. More components are required, as is an understanding of the interactions between them. In this article, we develop the a attribution model for high-frequency trading by explicating its components and the trading tactics used to implement high-frequency strategies. The results show why high-frequency traders need to be fast in order to generate positive expected returns and why they are better at providing liquidity. We provide an example implementation, using a sample of high-frequency equity data.TOPICS: Quantitative methods, exchanges/markets/clearinghouses %U https://jot.pm-research.com/content/iijtrade/10/2/34.full.pdf