고빈도 알고리즘 매매의 투기거래 분석: 주가지수 선물시장을 중심으로 = The Speculation Performance in High Frequency Trading: Focused on the Stock Index Futures Market

다국어 초록 (Multilingual Abstract)

This study analyzes the investment performance of day trading using the stock index futures, which is a typical speculative trading strategy, in a situation where speculative transactions of High Frequency Trading using futures are increasing recently.
The main results of this study are as follows : First, day trading, which is a speculative trading strategy in the stock index futures market, showed statistically significant profits, and all of investments showed such profits. Second, as in previous studies, individual investors and general accounts of day trading did not show significant investment performance, but foreign investors showed significant profits in all accounts and HFT accounts of all investors also showed significant profits. Third, if all stock index futures are invested and the day trading strategy is continuously used, the investment performance is significantly improved.
This study is meaningful in that it clearly distinguishes the HFT compared to previous studies and shows that day trading strategy of HFT realizes statistically significant levels of profits.
In addition, the main results of this study suggest that HFT-based tradings will spread more and futures tradings will be more likely to be used in speculative trading, so the competition for an order speed cannot be seen as a positive change in the market as a whole.