High Frequency Trading and the Warsaw Stock Exchange Fees' Structure - Preliminary Examination

Bławat, Bogusław (2012): High Frequency Trading and the Warsaw Stock Exchange Fees' Structure - Preliminary Examination. Forthcoming in:

Abstract

For the HFT investors the crucial factors of strategy to be applied are the spread value and transaction costs. The goal of our preliminary examination was to see, if the present WSE fee plans are suitable for a typical HFT strategy, like based on statistical arbitrage mean reverse strategy. We have examined the Sharpe ratio for the different scenarios calculated for 62 trading days within the WIG 20 stock universe. One of the most important results is that the fixed fee component plays in case of typical HFT investors the most important point in strategy selection and execution. To attract potential HFT players to WSE this component has to be lowered, or, considering increased liquidity provided by HFT players, reducing to the present level offered to the market makers.

• Item Type: MPRA Paper
• Language: English
• Keywords: HFT, trading costs, Warsaw Stock Exchange
• Subjects: C - Mathematical and Quantitative Methods > C9 - Design of Experiments; G - Financial Economics > G1 - General Financial Markets > G17 - Financial Forecasting and Simulation; G - Financial Economics > G2 - Financial Institutions and Services > G23 - Non-bank Financial Institutions ; Financial Instruments ; Institutional Investors

References

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“Exhibit No. 1 to the Warsaw Stock Exchange Rules (according to legal condition at 1 July 2011) - Exchange Fees Charged from Exchange Members”, http://www.gpw.pl/oplaty_1_en.

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