Risk Management on High-Frequency Trading (HFT)

The tools to measure risk, VaR and Stress for example, can also be used for higher frequencies but should be considered the fact that they have a non-linear behavior more pronounced on intraday returns, requiring a more refined analysis.

The big issue I see is to understand the strategy used to then understand what the most appropriate methodology to present a risk to the decision maker.

The HFT universe expands the universe of data exploration, with respect to risk some phenomena must be considered, for example, effects of liquidity throughout the day.