This study seeks to understand whether and to what extent High Frequency Trading (HFT) affects the probabilistic properties of the stock returns in five markets. More specifically, it focuses on the impact of HFT/Machine trading on five major stock indices, DAX, Nikkei 225, S&P 500, Russell 2000, and TOPIX. The empirical analysis demonstrates that while the introduction of machine trading and/or HFT appears to make the return series more “predictable” by reducing their Multiscale Entropy, it does not affect the Markov property, which, not surprisingly, does not hold for the entire return series under study.

中文翻译：

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高频交易和股票指数收益：非线性动态分析

这项研究旨在了解高频交易（HFT）是否以及在多大程度上影响五个市场中股票收益的概率特性。更具体地说，它着重于HFT /机器交易对五种主要股指的影响，DAX，日经225，标普500，罗素2000和TOPIX。经验分析表明，虽然通过减少交易的多尺度熵似乎引入了机器交易和/或HFT似乎使收益序列更“可预测”，但它不会影响马尔可夫性质，这并不奇怪，对整个收益率而言并不成立。返回系列正在研究中。