New study reveals how nanosecond data can boost profits in commodity trading.
The article explores using nanosecond historical data in high frequency trading to test a pairs trading strategy in the commodity futures market. The strategy aims to profit from price differences in futures contracts by taking long and short positions. The researchers developed a pair selection algorithm and tested the strategy with MatLab software using data from Nanotick Company. The main goal was to confirm statistical arbitrage opportunities and calculate returnability in HFT.