Effects of Algorithmic and High-Frequency Trading on BIST Stock Prices

Objectives

• Determine the effects of algorithmic trading (AT) and high-frequency trading (HFT) on the price dynamics of stocks listed in Borsa Istanbul

• Establish profitable trading strategies based on these dynamics

Phases

• Define AT and HFT on sample trade data

• Measure AT and HFT for different stocks

• Detect the relation between price and AT & HFT activity for selected periods

• Construct stock categories and make comparisons across these categories

• Define trading strategies and test their profitability

Team

• Cumhur Ekinci (Coordinator) - Istanbul Technical University

Dates

Nov 2022-May 2023

Financial Support

ITU BAP Hızdep (Project No 44334)

Budget

TRY 30,000 (nearly USD 1,600)