Inżynieria Rolnicza
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Title : High-Frequency Trading of agricultural commodities as a source of additional income in agriculture
Key words : statistical arbitrage, High Frequency Trading, commodity stock exchange, algorithmic trading
Summary :

The paper verifies usefulness of the high frequency trading model developed by Marco Avellaneda and Sasha Stoikov, used in simulation of turnover with futures contract securities of one of agricultural commodities on the selected commodity stock exchange. Accuracy of provided signals of purchase and sale signals was verified on authentic quotations – the futures contract for coffee prices of the London Stock Exchange. Results of ten subsequent session days was analysed in detail. Quality of the assumed investment algorithm was determined with the use of stock exchange ratios: Information Ratio and Maximum Drawdown. A short discussion was conducted, which compared a standard investing method and the analysed model of algorithmic trading. In conclusion, all most important statements and conclusions were made, which confirmed usefulness of the HFT model developed by Marco Avellaneda and Sasha Stoikov for turnover of futures contract securities for agricultural commodities.

Please use the following format to cite the selected article : Sporysz, M., Godula, Ł., Tabor, S., Kuboń, M., Szczuka, M. (2014). High-Frequency Trading of agricultural commodities as a source of additional income in agriculture. Inzynieria Rolnicza, 4(152), 221-231.
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