creator CHA, SEUNG YOUN 2021 Spring 2021 Dissertation Illinois Institute of Technology SSB / Stuart School of Business advisor Cooper, Ricky Finance Adaptive Market Hypothesis Efficient Market Hypothesis High Frequency Trading Information Efficiency Market Efficiency VAR en The paper gives an empirical analysis with the U.S. futures market data on how High Frequency Trading, HFT can improve the information efficiency of asset prices. Various analyses were conducted to determine the degree of efficiency of information in futures high-frequency trading. The paper tries to explain the effect of high-frequency trading on the efficiency of the market in various ways and tries to propose stepping stones for developing a new market analysis measure.The research builds a coherent framework for analyzing both linear and non-linear market efficiency and applies it to a variety of futures contracts using high- frequency data. The major finding of this paper is that market efficiency levels vary widely over time depending on market characteristics. The paper also finds that HFT activities are higher when the market is inefficient. The paper analyzes the relationship between high frequency trading activities and market efficiency and discovers the mechanism. The story that HFT activity responds to market efficiency needs is especially strong in the E-mini, S&P500 futures contract. born digital application/pdf In Copyright http://rightsstatements.org/page/InC/1.0/ Restricted Access Embargo Until: 01/11/2023 http://hdl.handle.net/10560/islandora:1024827