PT - JOURNAL ARTICLE AU - Carlos Jorge Lenczewski Martins TI - DTER and DTTER as High-Frequency Trading Efficiency Ratios AID - 10.3905/jot.2017.12.4.039 DP - 2017 Sep 30 TA - The Journal of Trading PG - 39--55 VI - 12 IP - 4 4099 - https://pm-research.com/content/12/4/39.short 4100 - https://pm-research.com/content/12/4/39.full AB - This article presents new transaction efficiency ratios for high-frequency trading (HFT) that are based on simple price changes, not external benchmarks or returns. The proposed ratios are based on assumptions that differ from general portfolio theory. The assumptions rely on the fact that higher rates of return for HFT are not dependent on higher price volatility. For HFT trading, risk is related to time, not volatility; the longer it takes for prices to change, the higher the risk (and costs). Thus, higher rates of return are directly dependent on variability (volatility) in prices, not price amplitude but the number of price changes, and risk is related to time, because the longer it takes for prices to change, the higher the risk (and costs) the HFT entity may be exposed to. As such, the proposed ratios take into consideration the number of price innovations (changes), the number of transactions performed, and the time between transactions.TOPICS: Quantitative methods, portfolio theory