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Optimal Strategies of High Frequency Traders

Xu, Jiangmin - 2015

This paper develops a model of the optimal strategies of high-frequency traders (HFTs) to rationalize their pinging activities. Pinging is defined as limit orders submitted inside the bid-ask spread that are cancelled shortly. The HFT in my model uses pinging to control his inventory or chase...

Persistent link: https://www.econbiz.de/10013034365

High Frequency Fairness

Haeringer, Guillaume; Melton, Hayden - 2020

The emergence of high frequency trading has resulted in `bursts' of orders arriving at an exchange (nearly) simultaneously, yet most electronic financial exchanges implement the continuous limit order book which requires processing of orders serially. Contrary to an assumption that appears...

Persistent link: https://www.econbiz.de/10014352148

The Intensity of High-Frequency Feedback Trading and its Impact on Market Quality

Wan, Die - 2015

feedback traders contribute to high volatility, high return autocorrelations, high variance ratios and low speed of price …

Persistent link: https://www.econbiz.de/10013010170

Information and inventories in high-frequency trading

Muhle-Karbe, Johannes; Webster, Kevin - 2015

We study how short-term informational advantages can be monetized in a high-frequency setting, when large inventories are explicitly penalized. We find that if most of the additional information is revealed regardless of the high-frequency traders' actions, then fast inventory management allows...

Persistent link: https://www.econbiz.de/10011412266

Algorithmic and High Frequency Trading in Dynamic Limit Order Markets

Bernales, Alejandro - 2019

We present a dynamic equilibrium model to understand differences and interactions between informational and trading speed advantages. The model is a stochastic asynchronous game, with endogenous trading decisions and non-cooperation among agents, in a limit order market. We show that welfare and...

Persistent link: https://www.econbiz.de/10012905144

Parallel Running : Effects of Information Transmission by High Frequency Traders on Market Quality

Peivandi, Ahmad - 2018

We develop a two period model of trade where a common value asset is traded against a numeraire in two parallel markets. An insider who knows the final value of the asset exploits his private information in both markets. Some traders, called high frequency (HF) traders, observe the total orders...

Persistent link: https://www.econbiz.de/10012911585

High-Frequency Trading and Its Role in Fragmented Markets

Haferkorn, Martin - 2016

The ﬁnancial services industry is among the leading industries in IT-spending. Still, little research exists which investigates how IT inﬂuences the ﬁnancial services sector. Against this background, we study how a technology which emerged within the last years affects securities trading:...

Persistent link: https://www.econbiz.de/10013004830

A theory of very short-time price change : security price drivers in times of high-frequency trading

Virgilio, Gianluca P. M. - In: Financial innovation : FIN 8 (2022), pp. 1-34

previous volatility, scarce liquidity, high quantity exchanged, and stop-loss (SL) orders (seldom mentioned in the literature … volatility, liquidity, and SL orders as the main causes of excess volatility. However, contrary to mainstream literature on …, financial markets face many ultrafast orders, yet a coherent theory of price change at time scales incomprehensible by humans …

Persistent link: https://www.econbiz.de/10013272630

High-Frequency Trading Synchronizes Prices in Financial Markets

Gerig, Austin - 2015

High-speed computerized trading, often called "high-frequency trading" (HFT), has increased dramatically in financial markets over the last decade. In the US and Europe, it now accounts for nearly one-half of all trades. Although evidence suggests that HFT contributes to the efficiency of...

Persistent link: https://www.econbiz.de/10013036294

Competition for Order Flow with Fast and Slow Traders

van Kervel, Vincent - 2020

The rise of computerized trading strategies in equity markets has spurred competition between trading venues. This paper shows that cross-venue strategies create highly interlinked markets: trades on one venue are followed by sizeable cancellations of limit orders on competing venues. These...

Persistent link: https://www.econbiz.de/10012857312