Abstract
In this study, we explore the linkage between high frequency trading activity and market volatility. Though the findings of existing studies for this topic until now are rather inconclusive, they agree with the impact HFT exert to volatility. In our design, we take advantage of the trading activity to predict real time trading. We use the VIXY which is an ETF of VIX and focuses on short term performance, finding that the ask side of high frequency trading activities has far more significant predictability for both the level of VIXY and return of VIXY, while the bid side seems to be trivial.
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