JARROW, ROBERT A.; PROTTER, PHILIP - In: International Journal of Theoretical and Applied … 15 (2012) 03, pp. 1250022-1
This paper shows that high frequency trading may play a dysfunctional role in financial markets. Contrary to arbitrageurs who make financial markets more efficient by taking advantage of and thereby eliminating mispricings, high frequency traders can create a mispricing that they unknowingly...