assess the impact of HF trading on market liquidity and price efficiency. We find that HF trading increases after news … announcements and improves price efficiency. However, it has a negative impact on liquidity, as it widens spreads before …

significant impact on prices and volatility in financial markets, considerably less effort has been devoted to the question what …

to analyze the impact of HF activities on liquidity and price efficiency. Our results show that HF activities have a … negative effect on liquidity around economic announcements: they widen spreads during the pre-announcement period and lower … depth on the order book during the post-announcement period. The negative impact on liquidity mainly derives from HF trades …