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High Frequency Trading and Fundamental Trading
SSRN Electronic Journal, 2017I develop a multi-period trading model to analyze how a fundamental trader adjusts his trading strategies and information production decisions to the existence of high frequency trading (HFT). I show that these decisions differ strongly depending on the type of information that the HFT can observe.
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High Frequency Trading, Liquidity, and Execution Cost
SSRN Electronic Journal, 2012zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Edward W. Sun, Timm Kruse, Min-Teh Yu
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Strategic liquidity provision in high-frequency trading
International Review of Financial Analysis, 2019We construct a Kyle (1985)-type market model in which fast and slow traders are present. After deriving the equilibrium condition described as a simultaneous equation system, we will perform numerical calculations. A major finding is that the fast trader who has an advantage in trade frequency acts as a liquidity provider, in that he takes the opposite
Takaki Hayashi, Katsumasa Nishide
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High-Frequency Trading and Conflict in the Financial Markets
Journal of Information Technology, 2017The last few decades has seen an ever-increasing growth in the way activities are productized and associated with a financial cost. This phenomenon, termed financialization, spans all areas including government, finance, health and manufacturing. Recent developments within finance over that past decade have radically altered the way trading occurs ...
Ricky Cooper +2 more
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Capability Satisficing in High Frequency Trading
SSRN Electronic Journal, 2016Abstract This paper explains the capability theory of how HFT firms make allocation decisions under uncertainty, and shows how capability maximization is precisely consistent with utility theory. The issue, however, is how these firms actually make allocation decisions in practice.
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Rise of the machines? Intraday high-frequency trading patterns of cryptocurrencies
European Journal of Finance, 2021Wolfgang Karl Härdle
exaly
Algorithmic Trading and High-Frequency Trading (HFT)
2017Abstract This chapter analyses the MiFID II rules on algorithmic trading (AT), including high-frequency trading (HFT). The author argues that AT raises serious issues of volatility and systemic risk, and HFT issues of systematic front-running of investors.
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