The World of High-Frequency Algorithmic Trading.

High Frequency Trading Research Papers

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High Frequency Trading Research Papers

As a relatively new phenomenon, much of the discussion is not backed by solid academic research. In this special issue of the Journal of Financial Markets on High-Frequency Trading, we present several research papers that aim to inform the discussion on this important issue.

High Frequency Trading Research Papers

This paper reviews recent theoretical and empirical research on high-frequency trading (HFT). Economic theory identifies several ways that HFT could affect liquidity. The main positive is that HFT can intermediate trades at lower cost.

High Frequency Trading Research Papers

Abstract. High-frequency trading has become a dominant force in the U.S. capital market, accounting for over 70% of dollar trading volume. This study examines the implication of high-frequency trading for stock price volatility and price discovery.

High Frequency Trading Research Papers

This paper characterizes the trading strategy of a large high-frequency trader (HFT). The HFT incurs a loss on its inventory but earns a profit on the bid-ask spread. Sharpe ratio calculations show that performance is very sensitive to cost of capital assumptions.

High Frequency Trading Research Papers

Japan Exchange Group, Inc. (JPX) highlights research and studies on changes in the market and regulatory environment with the aim of raising competitiveness. Conducted by officers and employees of JPX, its subsidiaries, and affiliates, as well as outside researchers, JPX Working Papers are intended to draw comments widely from academia, research institutions, and other market participants and.

High Frequency Trading Research Papers

Downloadable! This discussion paper led to an article in the Journal of Financial Markets (2013). Volume 16, pages 571-603. This paper links the recent fragmentation in equity trading to high frequency traders (HFTs). It shows how the success of a new market, Chi-X, critically depended on the participation of a large HFT who acts as a modern market-maker.

High Frequency Trading Research Papers

We study the consequences of high-frequency trading (HFT) — and potential policy responses — via the tradeoff between liquidity and information production. Faster speeds facilitate HFT with consequences for this tradeoff: information production diminishes because informed traders have less time to trade before HFTs react, but liquidity (measured by the bid-ask spread) improves.

High Frequency Trading Research Papers

Algorithmic and High-Frequency Trading is the first book that combines sophisticated mathematical modelling, empirical facts and financial economics, taking the reader from basic ideas to cutting-edge research and practice.

High Frequency Trading Research Papers

High Frequency Trading: Overview of Recent Developments Congressional Research Service Although no legislation has been introduced in the 114th Congress directly impacting the regulation or oversight of HFT, several bills have been introduced imposing a tax on a broad.

High Frequency Trading Research Papers

Using bond futures data, we test whether high-frequency trading (HFT) is engaging in back running, a trading strategy that can create costs for financial institutions. We reject the hypothesis of back running and find instead that HFT mildly improves trading costs for institutions.