High Frequency in Commodities

willsmith · October 7th, 2009, 10:11 pm

I'm just beginning a PhD (Univ of London) related to commodities and wonder:1) who's working in commodities at the high frequency (i.e. intra-day) level. I am aware of Sharon Linn and Michael Tamvakis at CASS, London. I'm particular interested in energy markets. My supervisor is Helyette Geman.2) how many hedge funds trade commodities at the intra-day frequencyThanksWill Smith

deepvalue · October 12th, 2009, 1:22 am

the capacity of hf strategies for commodities is extremely limited. you cannot make even $1M trades without moving markets at high frequencies.

commoquant · October 12th, 2009, 7:16 am

I think you should focus on energies which are traded on exchange like ICE or Nymex. Namely Brent, WTI, HH, and Gasoline. All the other energies are traded OTC which makes it nearly impossible to deploy any hf strategy. And I am not talking about liquidity problem which may also happen for some commodities traded on exchange.

deepvalue · October 13th, 2009, 4:00 am

futures exchanges discourage hf trading. there are so many restrictions on tick sizes and prices cannot move by more than a few percent per day before trading is halted. also, margin and trading fees are much higher than in equities markets.