following a period of high short-term volatility. This is inconsistent with the theory that fast traders leave the market when … stress situations arise, although their limit order supplying behaviour becomes neutral when short-term volatility is more …

following periods of high short-term volatility or periods of extreme stock movement. We define HFT as a subclass of proprietary … behaviour becomes neutral when short-term volatility is more informational than transactional. The agency algorithmic traders …