creator Wang, Chao 2020 Summer 2020 Dissertation Illinois Institute of Technology SSB / Stuart School of Business advisor Cooper, Ricky Management Finance Cancel Cluster Futures High Frequency Trading Market Liquidity Market Microstructure Price Discovery en This research focuses on the effects of high frequency trading (HFT) on market liquidity in US futures market. This research utilizes a unique data set consisting of all book events for multiple underlying assets and contracts during calendar year 2018, covering all trading days information of E-mini S&P 500, Gold, Eurodollar, Crude Oil, Corn and Soybean futures with their nearby and deferred contract data each day. This study extends findings from existing HFT equity research (e.g. Brocher et al., 2016; Frino et al., 2019, etc.) that HFT promotes market liquidity, into the commodity market. It also addresses HFT’s contributions to price discovery, and find it varies by types of commodities. Furthermore, the research identifies how an HFT phenomenon, the Cancel Cluster, impacts the futures market. Also, this research verifies and extends the models in Frino et al. (2019) to multiple commodities. Finally, a series of promising future analyses are suggested. born digital application/pdf In Copyright http://rightsstatements.org/page/InC/1.0/ Restricted Access http://hdl.handle.net/10560/islandora:1010201