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Very fast money: High-frequency trading on the NASDAQ

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  • Carrion, Allen

Abstract

This paper provides evidence regarding high-frequency trader (HFT) trading performance, trading costs, and effects on market efficiency using a sample of NASDAQ trades and quotes that directly identifies HFT participation. I find that HFTs engage in successful intra-day market timing, spreads are wider when HFTs provide liquidity and tighter when HFTs take liquidity, and prices incorporate information from order flow and market-wide returns more efficiently on days when HFT participation is high.

Suggested Citation

  • Carrion, Allen, 2013. "Very fast money: High-frequency trading on the NASDAQ," Journal of Financial Markets, Elsevier, vol. 16(4), pages 680-711.
  • Handle: RePEc:eee:finmar:v:16:y:2013:i:4:p:680-711
    DOI: 10.1016/j.finmar.2013.06.005
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    References listed on IDEAS

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    More about this item

    Keywords

    High-frequency trading; Trading performance; Intraday return predictability; VWAP; Trading costs; Adverse selection; Market efficiency;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services

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