IDEAS home Printed from
   My bibliography  Save this paper



  • Degiannakis, Stavros
  • Filis, George
  • Siourounis, Grigorios
  • Trapani, Lorenzo


Very little is known on how traditional risk metrics behave in ultra high frequency trading (UHFT). We fi�ll this void �firstly by examining the existence of the intraday returns moments, and secondly by assessing the impact of their (non)existence in a risk management framework. We show that in the case of UHFT, the returns' third and fourth moments do not exist, which entails that traditional risk metrics are unable to judge capital adequacy adequately. Hence, the use of risk management techniques, such as VaR, by market participants who engage with UHFT impose serious threats to the stability of fi�nancial markets, given that capital ratios may be severely underestimated.

Suggested Citation

  • Degiannakis, Stavros & Filis, George & Siourounis, Grigorios & Trapani, Lorenzo, 2019. "Superkurtosis," MPRA Paper 94473, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:94473

    Download full text from publisher

    File URL:
    File Function: original version
    Download Restriction: no

    References listed on IDEAS

    1. Trapani, Lorenzo, 2016. "Testing for (in)finite moments," Journal of Econometrics, Elsevier, vol. 191(1), pages 57-68.
    2. Igor Fedotenkov, 2013. "A bootstrap method to test for the existence of finite moments," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 25(2), pages 315-322, June.
    3. repec:bla:jfinan:v:72:y:2017:i:3:p:967-998 is not listed on IDEAS
    4. Beddington, John & Furse, Clara & Bond, Philip & Cliff, Dave & Goodhart, Charles & Houstoun, Kevin & Linton, Oliver & Zigrand, Jean-Pierre, 2012. "Foresight: the future of computer trading in financial markets: final project report," LSE Research Online Documents on Economics 62157, London School of Economics and Political Science, LSE Library.
    Full references (including those not matched with items on IDEAS)

    More about this item


    Ultra high frequency trading; risk management; fi�nite moments; superkurtosis.;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
    • F30 - International Economics - - International Finance - - - General
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

    NEP fields

    This paper has been announced in the following NEP Reports:


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:94473. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.