CHAPTER 8
High-Frequency Trading
The reader may well wonder whether adoption of a very short time horizon is, in and of itself, a sufficiently distinguishing feature of an investment technique to qualify it for separate discussion. Restricting itself to a short-term time horizon will clearly determine some aspects of an investment approach and the sources of its returns—for example, its trades will necessarily be directional or arbitrages, because a short period offers insufficient opportunity for any appreciable amount of cash flow to be earned, even from very high-yielding instruments. But does hyperactivity in pursuit of it really differentiate a return stream in any fundamental way? And if so, where do we draw the line—at holding periods ...

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