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SSRN Electronic Journal, 2013 High-frequency traders in financial markets have been making media headlines. 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.
Tarun Chordia +3 more
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Clustering of Trade Prices by High‐Frequency and Non–High‐Frequency Trading Firms
Financial Review, 2014AbstractWe examine clustering of transaction prices in a sample that contains high‐frequency trading firms’ transactions. We separate our sample into four categories: transactions with a high‐frequency trading firm on both sides of the transaction, on only one side of the transaction (either liquidity provider or liquidity demander), or on neither side
Ryan L Davis +2 more
exaly +2 more sources
Modelling Asset Prices for Algorithmic and High-Frequency Trading
Applied Mathematical Finance, 2013 Algorithmic trading (AT) and high-frequency (HF) trading, which are responsible for over 70% of US stocks trading volume, have greatly changed the microstructure dynamics of tick-by-tick stock data.
Álvaro Cartea, Sebastian Jaimungal
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High-Frequency Trading Strategies
Management Science, 2017We examine the effect of high-frequency trading on market quality from the perspective of a limit order trader. By competing with slower limit order traders, high-frequency traders impose a welfare externality by selectively crowding out the most profitable limit orders.
Michael Goldstein +2 more
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A multiscale model of high-frequency trading
Algorithmic Finance, 2012We propose and study a stylization of high frequency trading (HFT). Our interest is an order book which consists of orders from slow liquidity traders and orders from high-frequency traders. We would like to frame a model which is amenable to the (seemingly natural) mathematical toolkit of separation of scales and which can be used to address some of ...
Andrei Kirilenko +2 more
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Liquidity Suppliers and High Frequency Trading
SSRN Electronic Journal, 2013Following [\textit{U. Çetin} et al., Finance Stoch. 8, No. 3, 311--341 (2004; Zbl 1064.60083)] the authors consider a market in which limit orders are represented via a function \(S(t,x)\) modeling the unit price at time \(t\) for an order of size \(x\).
Robert Jarrow, Philip Protter
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SSRN Electronic Journal, 2011
High-frequency trading (HFT) has recently drawn massive public attention fuelled by the U.S. May 6, 2010 flash crash and the tremendous increases in trading volumes of HFT strategies. Indisputably, HFT is an important factor in markets that are driven by sophisticated technology on all layers of the trading value chain.
Peter Gomber +3 more
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High-frequency trading (HFT) has recently drawn massive public attention fuelled by the U.S. May 6, 2010 flash crash and the tremendous increases in trading volumes of HFT strategies. Indisputably, HFT is an important factor in markets that are driven by sophisticated technology on all layers of the trading value chain.
Peter Gomber +3 more
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High Frequency Trading: Una Panoramica (High Frequency Trading: An Overview)
SSRN Electronic Journal, 2013Nel seguente lavoro si propone un’analisi dei sistemi di trading ad alta frequenza (Hft); il fenomeno ha avuto origine e si e sviluppato sul mercato azionario statunitense, ma, nel corso degli ultimi anni si sta progressivamente espandendo alla maggioranza delle asset class sui principali mercati finanziari globali.
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Understanding the Stakes of High-Frequency Trading
The Journal of Trading, 2014Recent regulatory changes, known as Reg NMS in the United States or MiFID in Europe, together with the effects of the financial crisis (mainly its impact on liquidity), induced major changes on market microstructure in two main aspects: • the fragmentation of the liquidity around several trading venues, with the appearance of newcomers in Europe
Abergel, F. +2 more
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Online algorithms in high-frequency trading
Communications of the ACM, 2013The challenges faced by competing HFT algorithms.
Jacob Loveless +2 more
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