This paper theoretically examines whether reducing the minimum trading\ninterval could affect portfolio volatility. Modelling the underlying de-trended\nasset price with Ornstein Uhlenbeck process, the paper investigates the volatility\nof portfolios that employ buy and hold strategy and momentum strategy.\nThe paper presents theoretical evidence that the fast trading could increase\nportfolio price fluctuation and hence potentially suggests another cost\nof high frequency trading, besides the well-known damages including herding,\naggressive trading strategies dark pools, immediate-or-cancel type orders.
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