Cecen, Aydin; Jain, Pawan; Xiao, Linlan - 2021
This study seeks to understand whether and to what extent High Frequency Trading (HFT) affects the probabilistic properties of the stock returns in five markets. More specifically, it focuses on the impact of HFT/Machine trading on five major stock indices, DAX, Nikkei 225, S&P 500, Russell...