Where is this from? And do you agree with the volatility component? I do not Not all vol is equal; realized vol is positive, gap risk is not
An HFT firm's dream market: High volume - low cost of trading & plenty of active participants to trade against Low volatility - low risk of surprise losses Low price - can exploit exchange rebate structurepic.twitter.com/PHm50Ckhle
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I think it depends on the trading strategy & the level of volatility (a 1-3 sigma move might be great for HFT, a 5 sigma move might not be), but i agree more vol is generally a good thing for HFT profits. I found it from this paper (page 4):https://www.researchgate.net/publication/343231408_High-frequency_trading_order_cancellations_and_market_quality_Is_stricter_regulation_the_answer …
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Higher volatility usually brings much higher retail volume. Ideal for HFT
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Academic publications on 'HFT trading' overwhelmingly have no relation to reality
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Yep...size markets on low priced etf options. The bid ask optically tight but when you consider rebates the options were many vol points wide
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Ah yes, 2020 was a famously horrible year for hft due to the volatility
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