High-frequency trading competition

We analyze trading dynamics as successive high-frequency trading (HFT) firms begin to trade stocks in an equity market. Entrants compete with incumbents for volume, and there is crowding out. Earlier entry is associated with larger effects. After Passive HFT entry, incumbent spreads tighten. After Aggressive HFT entry, incumbent order flow loses informedness. Revenue data suggest entry reduces the profitability of HFT activity. The results show that part of the value of HFT comes from its competitiveness.

MoreLess

Year of publication:	2014
Authors:	Brogaard, Jonathan ; Garriott, Corey ; Pomeranets, Anna
Publisher:	Ottawa : Bank of Canada
Subject:	Financial markets \| Market structure and pricing

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

More details

Series:	Bank of Canada Working Paper ; 2014-19
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	10.34989/swp-2014-19 [DOI] 785481540 [GVK] hdl:10419/103016 [Handle] RePEc:bca:bocawp:14-19 [RePEc]
Classification:	G20 - Financial Institutions and Services. General ; G14 - Information and Market Efficiency; Event Studies ; L1 - Market Structure, Firm Strategy, and Market Performance
Source:	EconStor

Persistent link: https://www.econbiz.de/10010420617