This article examines the co-location of high-frequency trading (HFT) facilities and capacity of the Australian futures market to absorb information following major scheduled macroeconomic announcements. The findings show that the co-location of HFT facilities has increased trading activities and liquidity across the four futures contracts investigated. The four futures contracts also demonstrate a market capacity to absorb information from major announcements efficiently. For instance, the majority of price adjustments are impounded within 30 seconds following major announcements. The authors conclude that abnormal trading profits are unlikely to be generated by HFT in the Australian futures market. TOPICS: Futures and forward contracts, derivatives Key Findings • The co-location of HFT facilities has increased trading activities and liquidity across the four futures contracts investigated in the Australian futures market. • These futures contracts also demonstrate a market capacity to absorb information from major announcements efficiently. • Abnormal trading profits are unlikely to be generated by HFT in the Australian futures market.

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高频交易对澳大利亚期货市场流动性和效率的影响

本文研究了高频交易（HFT）设施和澳大利亚期货市场在大型定期宏观经济宣布后吸收信息的能力的共同定位。研究结果表明，在所调查的四份期货合约中，HFT设施的共同托管增加了交易活动和流动性。这四份期货合约还显示出有效吸收主要公告信息的市场能力。例如，大部分价格调整是在重大公告发布后的30秒内执行的。作者得出结论，在澳大利亚期货市场上，高频交易不太可能产生异常的交易利润。主题：期货和远期合约，衍生产品的主要发现•在澳大利亚期货市场上调查的四份期货合约中，HFT设施的共同托管增加了交易活动和流动性。•这些期货合约还显示出有效吸收主要公告中信息的市场能力。•HFT在澳大利亚期货市场不太可能产生异常的交易利润。