Effects of High Frequency Trading on the Malaysian Stock Market
Pages 85 - 91
Abstract
The high-frequency trading (HFT) has changed the world perspective of how the market behaves. HFT is a good system that provides liquidity to markets whereby it increases the market trend and improves its overall financial growth. On the other hand, some traders believe that this type of trading could lead to the instability of the market. Thus in this work, the effect of high frequency trading on the Malaysian stock market was studied. Historical data of Malaysia index from 2005 to 2011 and 2012 to 2018 was used for analysis and forecasting. In addition, comparison between Autoregressive (AR), Moving Averag (MA) and ARIMA for data set with HFT to the data set without HFT was done. The comparison was done in terms of price, volume and change. The outcome of this work showed HFT in Malaysia had a positive impact on the Malaysian Market to a greater extend.
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Index Terms
- Effects of High Frequency Trading on the Malaysian Stock Market
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Published In
July 2019
112 pages
ISBN:9781450371681
DOI:10.1145/3343485
Copyright © 2019 ACM.
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- UBI: Universidade da Beira Interior
- Universidade Nova de Lisboa
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Association for Computing Machinery
New York, NY, United States
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Published: 08 July 2019
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ICoMS'19
ICoMS'19: 2019 2nd International Conference on Mathematics and Statistics
July 8 - 10, 2019
Prague, Czech Republic
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