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 …

that algorithmic traders withdrew liquidity and generated uninformative volatility in Swiss franc currency pairs, while …

liquidity, price discovery and excess volatility. For that, we use a unique transactions data set for four UK stocks, over the … market quality. We find that both higher price volatility and lower spreads cause HFT activity to increase. We suggest a … on price discovery (ie information-based volatility) and noise (ie excess volatility). We find that while HFTs have a …

) does not lead the entire day. Spreads, the number of trades and volatility can explain almost half of the intraday …