Mathematics in Education, Research and Applications (MERAA), 2017(3), 1

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Published online 2017-12-04
DOI:http://dx.doi.org/10.15414/meraa.2017.03.01.41-48

High frequency trading regarding trade in goods of agricultural origin

Maciej Sporysz, Vladimír Matušek, Mariusz Fitowski
University of Agriculture in Krakow, Poland; Slovak University of Agriculture, Nitra, Slovak Republic

Article Fulltext (PDF), pp. 41–48: This work presents the usage model in high frequency trading mechanisms concerning goods of agricultural origin. The aim of this study is to verify this type of solution on the basis of historical data covering the period from April 1st, 2013 to April 30th, 2014. The most common ratios, i.e. Annualised Return, Investment Risk, Maximum Drawdown, as well as Information Ratio have been chosen as the measures of strategy usefulness. Options varying in both the horizon and the time interval have been considered. The best results have been achieved with respect to the historical time horizon for appointing the benchmark proportion of securities and exceeding one day, as well as one-minute time interval. It is worth emphasizing that the investment issue constitutes a very complex problem influenced by a large number of factors. Owing to this fact, no universal mode of conduct guaranteeing profits may be unequivocally indicated. It is possible only to define a scenario, which shall prove effective with a substantial degree of probability.; Keywords: frequency trading, trade, origin, simulation, models; JEL Classification: Q02, Q13, Q17