Goldstein, Michael; Brogaard, Jonathan; Hendershott, … - In: The Financial Review 49 (2014) 2, pp. 345-369
This paper studies whether high-frequency trading (HFT) increases the execution costs of institutional investors. We use technology upgrades that lower the latency of the London Stock Exchange to obtain variation in the level of HFT over time. Following upgrades, the level of HFT increases....