High-frequency trading (HFT) has recently drawn massive public attention fuelled by the U.S. May 6, 2010 flash crash and the tremendous increases in trading volumes of HFT strategies. Indisputably, HFT is an important factor in markets that are driven by sophisticated technology on all layers of...

High-frequency traders in financial markets have been making media headlines. As a relatively new phenomenon, much of the discussion is not backed by solid academic research. In this special issue of the Journal of Financial Markets on High-Frequency Trading, we present several research papers...

For the highly traded S&P 500 exchange traded fund SPY, we find that, over time, transaction size has been decreasing while the number of consecutive buy or sell transactions has been increasing due to the increased prevalence of high frequency trading and order splitting. Collapsing sequences...