[2O1-J-13] AI application: dynamics in finance

[2O1-J-13-04] Analysis of Limit Orders by High-Frequency Traders in Tokyo Stock Exchange

〇Masanori HIRANO¹, Kiyoshi IZUMI¹, Hiroyasu MATSUSHIMA¹, Hiroki SAKAJI¹, Takashi SHIMADA¹ (1. School of Engineering, The University of Tokyo)

Keywords:High-Frequency Trading, Stock Exchange, Market Making Strategy, Clustering

This study aimed to analyze the order behavior by High-frequency traders (HFT) called market making (MM) strategy. We used the order data of Tokyo Stock Exchange provided by Japan Exchange Group, Inc.. Firstly, we preprocessed the order data for merging virtual server used by the same traders. Secondly, we did a cluster analysis of traders based on some indexes indicating features of their trading strategy and extracted HFT-MM traders. Then, we calculated how many ticks their ordering price is far from the last executed price. As a result, we found some of their orders were placed at quite far (5-10 ticks) price from the last executed price for HFT-MM. This result means they mixed some strategies other than market making strategy and the strategies, possibly, will cause the unstabilizing effect when the market price is very fluctuating.