Evolution and Emerging Trends in HFT Research
Wenqing Liu
Department of Management Information Systems, National Chengchi University, No. 64, Sec. 2, ZhiNan Rd., Wenshan Dist., Taipei City 11605, Taiwan (R.O.C).
Daniel Yuh Chao
Department of Management Information Systems, National Chengchi University, No. 64, Sec. 2, ZhiNan Rd., Wenshan Dist., Taipei City 11605, Taiwan (R.O.C).
Mike Y. J. Lee *
Department of Management Information Systems, National Chengchi University, No. 64, Sec. 2, ZhiNan Rd., Wenshan Dist., Taipei City 11605, Taiwan (R.O.C) and Department of Business Administration, China University of Technology, No. 56, Sec. 3, Xinglong Rd., Wenshan Dist., Taipei City 11695, Taiwan (R.O.C).
Tingyu Chen
Department of Management Information Systems, National Chengchi University, No. 64, Sec. 2, ZhiNan Rd., Wenshan Dist., Taipei City 11605, Taiwan (R.O.C).
*Author to whom correspondence should be addressed.
Abstract
Aims: In this paper, we try to study the evolution and emerging trends of High Frequency Trading (HFT) research by examining papers published in the Web of Science (WOS) between 1993 and 2017.
Study Design: A total of 241 papers were included, and 1876 keywords from these articles were extracted and analyzed.
Place and Duration of Study: For tracing the dynamic changes of the HFT Research, the whole 24 year was further separated three consecutive periods: 1993-2002, 2003-2012, and 2013-2017.
Methodology: The Ucinet is adopted to get keywords network, or knowledge network, to study the relationship of each research theme. NetDraw was applied to visualize network. We used social network analysis (SNA) technique to reveal patterns and trends in the research by measuring the association strength of terms representative of relevant publications produced in HFT field.
Results: Results indicate that HFT research has been strongly influenced by “market”, “prices”, “finance”, “liquidity”, “statistics”, “financial markets”, “stock”, “stochastic”, “model” and “trades” as shown in Table 1, which represent some established research themes. They are major focuses and the bridges connecting to other research themes in HFT. The detailed analysis in results and discussion provides an overview of evolution and emerging trends in HFT Research.
Conclusion: It concludes that market performance related keywords, which represent some established research themes, have become the major focus in HFT research. It also changes rapidly to embrace new themes. Especially, this research may make contribution to enlarge research method in that there is no SNA research in HFT research before.
Keywords: High frequency trading, HFT, social network analysis, SNA, emerging trends