Economics, Econometrics and Finance
3 years ago

High Frequency Trading Improves Market Liquidity with 5 Best Prices.

SSRN Electronic Journal
High Frequency Trading (HFT) and Market Quality Research : An Evaluation of the Alternative HFT Proxies
Shahadat Hossain

Paper Summary

Related papers

Economics, Econometrics and Finance
2 years ago

High-frequency trading squeezes out profitable orders, impacting market quality.

Asset Pricing
Econophysics
Stock Market Predictions
2 views
Economics, Econometrics and Finance
8 years ago

High trading frequency boosts market efficiency but increases fragility, study finds.

Econophysics
Monetary Models
Asset Pricing
Economics, Econometrics and Finance
8 years ago

High-frequency trading boosts market efficiency and improves price discovery worldwide.

Asset Pricing
Oil Price Shocks
Econophysics

The article examines different ways to measure high frequency trading (HFT) activity using data from the London Stock Exchange. By analyzing trading patterns and market liquidity, the researchers found that HFT proxies based on the 5 best prices in the limit order book are more accurate than those based on just the best price. They also discovered that HFTs engage in both competitive and passive trading strategies, but do not excessively participate in passive trading.