The impact of high-frequency trading and its strategies on China’s market

Student’s Name:Yulin Huang

Student's ID:2033597

Supervisor: Arodh Lal Karn

High-frequency trading is a special category of algorithmic trading, which is based on a certain
trading strategy, the use of high-speed computers at a very high frequency of the relevant information xfor centralised processing, and issue trading instructions to automatically complete the purchase and sale transactions. With the existence of etf (exchange-traded funds) and underlying stocks, investors can directly or disguisedly use credit trading and other means to realise T+0 trading, so as to obtain the lucrative profits from intra-day trading in the securities market. As a
result, high-frequency trading has been used in the trading of commodity futures, ETFs and warrants
in China. This report focuses on the impact of HFT in the Chinese securities market and
the performance of HFT strategies in the Chinese market. During the experiment, Matlab was
successfully used to perform time series analysis, frequency domain analysis on intraday trading
data of CSI 300 stock index futures. In the return analysis, volatility optimisation empirical evidence
has been successfully implemented using. At the end, an empirical simulation analysis of
high-frequency trading strategies is conducted. In general, high-frequency trading activities have
developed more rapidly in the Chinese securities market in recent years. In future research, it
may focus more on the in-depth analysis of high-frequency trading strategies and their feasibility

The final results show that China’s high-frequency trading market is more active in 2018-2020,
especially with a five-minute cycle, which proved to have an impact on China’s securities market.
Furthermore, with one-minute, five-minute, and ten-minute nodes, the high-frequency trading
returns are valid. In the simulation proof, the strategy applied in this study is also fully
proved to be profitable.