impact of such concepts, e.g. effects on the price formation or the volatility of prices, a simulation environment is … market prices. On the other hand, lower latency appears to lower market volatility. -- Algorithmic Trading ; Simulation …

In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures … price discovery compared to Non-HFTs, but also add a higher share to noise than to permanent volatility. Moreover, I find … evidence that HFTs tend to supply less liquidity after an unexpected rise in market volatility and prior to upcoming …

We develop a model of limit order trading in which some traders have better information on future price volatility. As … visible. In either design, a large (resp. small) spread signals that informed limit order traders expect volatility to be high … significantly. Consistent with our model, we also find that the size of the spread is a predictor of future price volatility and …

speculative trading increases. As a result, market liquidity deteriorates and short-term volatility rises. Our findings hold for a …