Serving the Quantitative Finance Community
Position Sizing/Risk Management in High Frequency Trading
What are some methods employed in optimizing position size when trading listed equities in a high-frequency environment? I realize that it surely depends on the specific strategy employed, but are there some general concerns folks consider? What are the issues faced when NOT optimizing sizing (slippage, etc.)?Further, what are the risk management techniques in this space? Given trades are turned in seconds, the major risks are surely systemic. But are there others to consider?