Economics, Econometrics and Finance
5 years ago

High-Frequency Trading Boosts Liquidity and Efficiency in Australian Futures Market

The Journal of Derivatives
The Impact of High-Frequency Trading on Australian Futures Market Liquidity and Efficiency
Panha Heng, Scott J. Niblock, Jennifer L Harrison, Hansi Hu

Paper Summary

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The impact of high-frequency trading on Australian futures market liquidity and efficiency was studied. High-frequency trading facilities have increased trading activities and liquidity in the market. The market can quickly absorb information from major announcements, with price adjustments happening within 30 seconds. Abnormal trading profits are unlikely to be made by high-frequency trading in the Australian futures market.