TY - JOUR T1 - Expected Return in High-Frequency Trading JF - The Journal of Trading SP - 34 LP - 40 DO - 10.3905/jot.2015.10.2.034 VL - 10 IS - 2 AU - Rick Cooper AU - Ben Van Vliet Y1 - 2015/03/31 UR - https://pm-research.com/content/10/2/34.abstract N2 - 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 ER -