Table 31 Volatility expressed as Delta Price (MAX – MIN) and Standard Deviation of price at different ratio of HF traders’ participation, and different scenarios
From: A theory of very short-time price change: security price drivers in times of high-frequency trading
| Â | Â | 0% | 33% | 50% | 67% | 75% | 90% |
|---|---|---|---|---|---|---|---|
RANDOM WALK (RW) | Delta price | 0.63 | 1.18 | 1.23 | 1.15 | 1.02 | 0.82 |
Std. dev | 0.20 | 0.25 | 0.28 | 0.29 | 0.27 | 0.23 | |
TREND | Delta price | 0.93 | 1.84 | 2.99 | 2.41 | 2.03 | 1.32 |
Std. dev | 0.28 | 0.56 | 0.89 | 0.72 | 0.61 | 0.39 | |
RW + QUANTITY (QTY) | Delta price | 0.7 | 1.62 | 1.86 | 1.84 | 1.69 | 1.61 |
Std. dev | 0.21 | 0.36 | 0.42 | 0.44 | 0.39 | 0.38 | |
TREND + QTY | Delta price | 0.96 | 3.04 | 3.88 | 3.71 | 3.63 | 2.99 |
Std. dev | 0.29 | 0.96 | 1.13 | 1.09 | 1.06 | 0.87 | |
RW + STOP-LOSS (SL) | Delta price | 4.39 | 4.41 | 4.21 | 4.03 | 3.99 | 4.37 |
Std. dev | 0.88 | 1.06 | 1.03 | 0.97 | 0.94 | 0.94 | |
TREND + SL | Delta price | 4.41 | 4.55 | 5.22 | 5.09 | 4.71 | 4.64 |
Std. dev | 1.08 | 1.29 | 1.32 | 1.30 | 1.22 | 1.20 | |
RW + QTY + SL | Delta price | 4.38 | 4.48 | 4.79 | 4.51 | 4.37 | 4.35 |
Std. dev | 0.91 | 1.06 | 1.01 | 1.04 | 1.01 | 0.96 | |
TREND + QTY + SL | Delta price | 4.44 | 4.89 | 5.70 | 6.26 | 6.24 | 6.2 |
Std. dev | 1.13 | 1.34 | 1.38 | 1.59 | 1.59 | 1.52 |