Empirical limitations on high frequency trading profitability

M Kearns, A Kulesza, Y Nevmyvaka - arXiv preprint arXiv:1007.2593, 2010 - arxiv.org
Addressing the ongoing examination of high-frequency trading practices in financial
markets, we report the results of an extensive empirical study estimating the maximum …

The economics of high-frequency trading: Taking stock

AJ Menkveld - Annual Review of Financial Economics, 2016 - annualreviews.org
I review the recent high-frequency trader (HFT) literature to single out the economic
channels by which HFTs affect market quality. I first group the various theoretical studies …

High-frequency trading

T Chordia, A Goyal, BN Lehmann… - Johnson School Research …, 2013 - papers.ssrn.com
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 …

The fall of high-frequency trading: A survey of competition and profits

JP Serbera, P Paumard - Research in International Business and Finance, 2016 - Elsevier
We investigate high-frequency trading (HFT) strategies, inventorying the strategies already
studied in the literature and introducing innovative strategies detected by private institutional …

A blessing or a curse? The impact of high frequency trading on institutional investors

L Tong - The Impact of High Frequency Trading on Institutional …, 2014 - papers.ssrn.com
The rapid growth of high frequency trading (HFT) has aroused considerable public attention
and policy interests in its impact on institutional investors. Previous studies show that HFT …

Very fast money: High-frequency trading on the NASDAQ

A Carrion - Journal of Financial Markets, 2013 - Elsevier
This paper provides evidence regarding high-frequency trader (HFT) trading performance,
trading costs, and effects on market efficiency using a sample of NASDAQ trades and quotes …

High-frequency trading and its impact on markets

M O'Hara - Financial Analysts Journal, 2014 - Taylor & Francis
At the 2013 CFA Institute Financial Analysts Seminar, held in Chicago on 22–25 July,
Maureen O'Hara discussed a new market paradigm: Trading has become faster, and market …

[PDF][PDF] High-frequency trading behaviour and its impact on market quality: evidence from the UK equity market

E Benos, S Sagade - 2012 - bankofengland.co.uk
We analyse the intraday behaviour of high-frequency traders (HFTs) and its impact on
aspects of market quality such as liquidity, price discovery and excess volatility. For that, we …

Risk metrics and fine tuning of high‐frequency trading strategies

Á Cartea, S Jaimungal - Mathematical Finance, 2015 - Wiley Online Library
We propose risk metrics to assess the performance of high‐frequency (HF) trading strategies
that seek to maximize profits from making the realized spread where the holding period is …

Competition among high-frequency traders, and market quality

J Breckenfelder - 2019 - papers.ssrn.com
We study empirically how competition among high-frequency traders (HFTs) affects their
trading behavior and market quality. Our analysis exploits a unique dataset, which allows us …