High Frequency Trading Evidence

High Frequency Trading Evidence: The Academic Evidence

 

Overview and summary
 Most analyses are based on equity markets.
 Broad characteristics of HFTrs
 Large in size and scope (market coverage)
 Collocate.
 A large share of message traffic.
 Quick reaction to market information.
 Trading styles
 High rates of order cancellation
 High turnover
 Tight position management: net positions are always
kept small
 Often trade passively (like market makers)
 But often trade actively.

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