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Data-Driven Measures of High-Frequency Trading

Author

Listed:
  • Gbenga Ibikunle
  • Ben Moews
  • Dmitriy Muravyev
  • Khaladdin Rzayev

Abstract

We introduce data-driven measures of high-frequency trading (HFT) that distinguish between liquidity-supplying and liquidity-demanding strategies. We train machine learning models on a proprietary dataset with observed HFT activity, then apply these models to public intraday data to generate HFT measures across all U.S. stocks during 2010-2023. Our measures outperform conventional proxies, which struggle to capture the temporal dynamics of HFT. Consistent with theory, our measures respond to a quasi-exogenous speed bump introduction and a data feed upgrade. The measures help uncover the differential impact of HFT on information acquisition. Liquidity-supplying HFT improves price informativeness around earnings announcements, while liquidity-demanding HFT impedes it.

Suggested Citation

  • Gbenga Ibikunle & Ben Moews & Dmitriy Muravyev & Khaladdin Rzayev, 2026. "Data-Driven Measures of High-Frequency Trading," Papers 2608.00858, arXiv.org.
    • Handle: RePEc:arx:papers:2608.00858
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    File URL: https://arxiv.org/pdf/2608.00858
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