Here is an article entitled Opportunities for High Frequency Traders: Intraday Patterns in Price Volatility and Liquidity of SFE Contracts by Professor Alex Frino and Grant Wearin of the University of Sydney, Australia in association with the Sydney Futures Exchange.
I've recently put together some scanning software to look for symbols with high daily volatility. This easy to read paper, confirms what I've found out about daily patterns of volatility. In addition, it adds to my knowledge regarding bid/ask spreads in relationship to depth analysis. The paper also discusses the Predictability of Price Movements of SFE Contracts in relationship to the time of day where it might be easier to predict. Continue reading "Opportunities for High Frequency Traders" »