Results 11 to 20 of about 308,639 (286)
High Frequency Trading and Fragility [PDF]
SSRN Electronic Journal, 2016 We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions: traders demand more liquidity when the market becomes less liquid, which in turn makes ...
Cespa, Giovanni, Vives, Xavier
openaire +4 more sources
High-Frequency Trading and Price Discovery [PDF]
Review of Financial Studies, 2013 We examine the role of high-frequency traders (HFTs) in price discovery and price efficiency. Overall HFTs facilitate price efficiency by trading in the direction of permanent price changes and in the opposite direction of transitory pricing errors, both on average and on the highest volatility days.
Jonathan Brogaard +2 more
openaire +5 more sources
How high frequency trading affects a market index. [PDF]
Sci Rep, 2013 The relationship between a market index and its constituent stocks is complicated. While an index is a weighted average of its constituent stocks, when the investigated time scale is one day or longer the index has been found to have a stronger effect on
Kenett DY +3 more
europepmc +3 more sources
Quantum computational quantitative trading: high-frequency statistical arbitrage algorithm
New Journal of Physics, 2022 Quantitative trading is an integral part of financial markets with high calculation speed requirements, while no quantum algorithms have been introduced into this field yet.
Xi-Ning Zhuang +3 more
doaj +1 more source
A Decision Support System for Trading in Apple Futures Market Using Predictions Fusion
IEEE Access, 2021 In the last decade, High-Frequency Trading (HFT) has become a popular issue in the futures market, which has attracted much attention from numerous researchers.
Shangkun Deng +6 more
doaj +1 more source
The Invisible Power of MacHines Revisiting the Proposed Flash Order Ban in the Wake of the Flash Crash [PDF]
, 2011 Technological innovation continues to make trading and markets more efficient, generally benefitting market participants and the investing public.
Sandler, Austin J.
core +6 more sources
A comprehensive study on bid-ask spread and its determinants in India
Cogent Economics & Finance, 2021 Determinants of bid-ask spread have been explored significantly for low-frequency datasets in many developed markets. Researchers have identified share price, traded volume, market–capitalization, return volatility, and number of trades as the prime ...
Aritra Pan, Arun Kumar Misra
doaj +1 more source
CONCEPTUAL APPROACHES TO HIGH-FREQUENCY TRADING IDENTIFICATION
Вестник Российского экономического университета имени Г. В. Плеханова, 2017 The article deals with the conceptual approaches to the High Frequency Trading identification in order to allocate set of features that enable to separate High Frequency Trading from other forms of exchange activities. At today's exchange trading HFT has
Ruslan R. Iskyandyarov
doaj +1 more source
Empirical Limitations on High Frequency Trading Profitability [PDF]
, 2010 Addressing the ongoing examination of high-frequency trading practices in financial markets, we report the results of an extensive empirical study estimating the maximum possible profitability of the most aggressive such practices, and arrive at figures ...
Kearns, Michael +2 more
core +6 more sources
High Frequency Trading: análise de retorno, volume e volatilidade
Faces: Revista de Administração, 2018 O artigo tem o objetivo de analisar a relação entre a volatilidade dos preços e volume na bolsa de valores brasileira em momentos antes e pós-iniciação das estratégias HFT.
Alcides Carlos de Araújo +1 more
doaj +1 more source