Benos, Evangelos; Sagade, Satchit - Bank of England - 2012
liquidity, price discovery and excess volatility. For that, we use a unique transactions data set for four UK stocks, over the … market quality. We find that both higher price volatility and lower spreads cause HFT activity to increase. We suggest a … on price discovery (ie information-based volatility) and noise (ie excess volatility). We find that while HFTs have a …