High Frequency Trading: Strategic Competition Between Slow and Fast Traders
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Peter Gomber & Martin Haferkorn, 2013. "High-Frequency-Trading," Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK, Springer;Gesellschaft für Informatik e.V. (GI), vol. 5(2), pages 97-99, April.
- Biais, Bruno & Foucault, Thierry & Moinas, Sophie, 2015.
"Equilibrium fast trading,"
Journal of Financial Economics, Elsevier, vol. 116(2), pages 292-313.
- Biais, Bruno & Foucault, Thierry & Moinas, Sophie, 2013. "Equilibrium Fast Trading," TSE Working Papers 13-387, Toulouse School of Economics (TSE), revised Sep 2014.
- Biais, Bruno & Foucault, Thierry & Moinas, Sophie, 2013. "Equilibrium Fast Trading," IDEI Working Papers 769, Institut d'Économie Industrielle (IDEI), Toulouse, revised Sep 2014.
- Bruno Biais & Thierry Foucault & Sophie Moinas, 2015. "Equilibrium fast trading," Post-Print halshs-01400252, HAL.
- Biais, Bruno & Foucault, Thierry & Moinas, Sophie, 2013. "Equilibrium Fast Trading," HEC Research Papers Series 968, HEC Paris.
- Michael Goldstein & Björn Hagströmer & Lars Nordén & Dong Zhang, 2014. "How Aggressive Are High-Frequency Traders?," The Financial Review, Eastern Finance Association, vol. 49(2), pages 395-419, May.
- Thierry Foucault & Johan Hombert & Ioanid Roşu, 2016.
"News Trading and Speed,"
Journal of Finance, American Finance Association, vol. 71(1), pages 335-382, February.
- Thierry Foucault & Johan Hombert & Ioanid Rosu, 2012. "News Trading and Speed," Post-Print hal-00713377, HAL.
- Thierry Foucault & Johan Hombert & Ioanid Rosu, 2012. "News Trading and Speed," Post-Print hal-00713374, HAL.
- Thierry Foucault & Johan Hombert & Ioanid Rosu, 2012. "News Trading and Speed," Post-Print hal-00713372, HAL.
- Thierry Foucault & Johan Hombert & Ioanid Rosu, 2012. "News Trading and Speed," Post-Print hal-00713376, HAL.
- Foucault , Thierry & Hombert , Johan & Rosu, Ioanid, 2013. "News Trading and Speed," HEC Research Papers Series 975, HEC Paris.
- Bruno Biais & Thierry Foucault, 2014. "HFT and Market Quality," Bankers, Markets & Investors, ESKA Publishing, issue 128, pages 5-19, January-F.
- Holden, Craig W & Subrahmanyam, Avanidhar, 1992. "Long-Lived Private Information and Imperfect Competition," Journal of Finance, American Finance Association, vol. 47(1), pages 247-270, March.
- Albert J. Menkveld & Marius A. Zoican, 2017.
"Need for Speed? Exchange Latency and Liquidity,"
Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1188-1228.
- Albert J. Menkveld & Marius A. Zoican, 2014. "Need for Speed? Exchange Latency and Liquidity," Tinbergen Institute Discussion Papers 14-097/IV, Tinbergen Institute.
- Albert Menkveld & Marius Andrei Zoican, 2016. "Need for Speed? Exchange Latency and Liquidity," Working Papers hal-01253615, HAL.
- Albert Menkveld & Marius Andrei Zoican, 2017. "Need for Speed? Exchange Latency and Liquidity," Post-Print hal-01501352, HAL.
- Menkveld, Albert J., 2013.
"High frequency trading and the new market makers,"
Journal of Financial Markets, Elsevier, vol. 16(4), pages 712-740.
- Albert J. Menkveld, 2011. "High Frequency Trading and the New-Market Makers," Tinbergen Institute Discussion Papers 11-076/2/DSF21, Tinbergen Institute, revised 15 Aug 2011.
- Michael Goldstein & Albert J. Menkveld, 2014. "High-Frequency Traders and Market Structure," The Financial Review, Eastern Finance Association, vol. 49(2), pages 333-344, May.
- Eric Budish & Peter Cramton & John Shim, 2015. "Editor's Choice The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 130(4), pages 1547-1621.
- Boco, Hervé & Germain, Laurent & Rousseau, Fabrice, 2016.
"Heterogeneous noisy beliefs and dynamic competition in financial markets,"
Economic Modelling, Elsevier, vol. 54(C), pages 347-363.
- Fabrice Rousseau & Hervé Boco & Laurent Germain, 2016. "Heterogeneous Noisy Beliefs and Dynamic Competition in Financial Markets," Economics Department Working Paper Series n269-16.pdf, Department of Economics, National University of Ireland - Maynooth.
- Dridi, Ramdan & Germain, Laurent, 2009. "Noise and competition in strategic oligopoly," Journal of Financial Intermediation, Elsevier, vol. 18(2), pages 311-327, April.
- Foster, F Douglas & Viswanathan, S, 1993. "The Effect of Public Information and Competition on Trading Volume and Price Volatility," Review of Financial Studies, Society for Financial Studies, vol. 6(1), pages 23-56.
- Jonathan Brogaard & Terrence Hendershott & Ryan Riordan, 2014.
"High-Frequency Trading and Price Discovery,"
The Review of Financial Studies, Society for Financial Studies, vol. 27(8), pages 2267-2306.
- Brogaard, Jonathan & Hendershott, Terrence & Riordan, Ryan, 2013. "High frequency trading and price discovery," Working Paper Series 1602, European Central Bank.
- Breckenfelder, Johannes, 2013. "Competition between high-frequency traders, and market quality," MPRA Paper 66715, University Library of Munich, Germany, revised Dec 2013.
- Biais, Bruno & Woolley, Paul, 2012. "High Frequency Trading," IDEI Working Papers 31724, Institut d'Économie Industrielle (IDEI), Toulouse.
- Terrence Hendershott & Charles M. Jones & Albert J. Menkveld, 2011.
"Does Algorithmic Trading Improve Liquidity?,"
Journal of Finance, American Finance Association, vol. 66(1), pages 1-33, February.
- Hendershott, Terrence & Jones, Charles M. & Menkveld, Albert J., 2008. "Does algorithmic trading improve liquidity?," CFS Working Paper Series 2008/41, Center for Financial Studies (CFS).
- Conrad, Jennifer & Wahal, Sunil & Xiang, Jin, 2015. "High-frequency quoting, trading, and the efficiency of prices," Journal of Financial Economics, Elsevier, vol. 116(2), pages 271-291.
- Hagströmer, Björn & Nordén, Lars, 2013. "The diversity of high-frequency traders," Journal of Financial Markets, Elsevier, vol. 16(4), pages 741-770.
- Alain P. Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Clara Vega, 2014.
"Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market,"
Journal of Finance, American Finance Association, vol. 69(5), pages 2045-2084, October.
- Alain P. Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Clara Vega, 2009. "Rise of the machines: algorithmic trading in the foreign exchange market," International Finance Discussion Papers 980, Board of Governors of the Federal Reserve System (U.S.).
- Brogaard, Jonathan & Garriott, Corey, 2019.
"High-Frequency Trading Competition,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(4), pages 1469-1497, August.
- Jonathan Brogaard & Corey Garriott & Anna Pomeranets, 2014. "High-Frequency Trading Competition," Staff Working Papers 14-19, Bank of Canada.
- Álvaro Cartea & José Penalva, 2012.
"Where is the Value in High Frequency Trading?,"
Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 2(03), pages 1-46.
- Álvaro Cartea & José Penalva, 2011. "Where is the value in high frequency trading?," Working Papers 1111, Banco de España.
- Jain, Pankaj K. & Jain, Pawan & McInish, Thomas H., 2016. "Does high-frequency trading increase systemic risk?," Journal of Financial Markets, Elsevier, vol. 31(C), pages 1-24.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Zhou, Hao & Kalev, Petko S., 2019. "Algorithmic and high frequency trading in Asia-Pacific, now and the future," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 186-207.
- Breedon, Francis & Chen, Louisa & Ranaldo, Angelo & Vause, Nicholas, 2023.
"Judgment day: Algorithmic trading around the Swiss franc cap removal,"
Journal of International Economics, Elsevier, vol. 140(C).
- Breedon, Francis & Chen, Louisa & Ranaldo, Angelo & Vause, Nicholas, 2018. "Judgement Day: algorithmic trading around the Swiss franc cap removal," Bank of England working papers 711, Bank of England.
- Francis Breedon & Louisa Chen & Angelo Ranaldo & Nicholas Vause, 2019. "Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal," Working Papers on Finance 1912, University of St. Gallen, School of Finance.
- Francis Breedon & Louisa Chen & Angelo Ranaldo & Nicholas Vause, 2018. "Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal," Working Papers on Finance 1808, University of St. Gallen, School of Finance.
- Oliver Linton & Soheil Mahmoodzadeh, 2018.
"Implications of High-Frequency Trading for Security Markets,"
Annual Review of Economics, Annual Reviews, vol. 10(1), pages 237-259, August.
- Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of high-frequency trading for security markets," CeMMAP working papers CWP06/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Linton, O. & Mahmoodzadeh, S., 2018. "Implications of High-Frequency Trading for Security Markets," Cambridge Working Papers in Economics 1802, Faculty of Economics, University of Cambridge.
- Ekinci, Cumhur & Ersan, Oğuz, 2022. "High-frequency trading and market quality: The case of a “slightly exposed” market," International Review of Financial Analysis, Elsevier, vol. 79(C).
- Sánchez Serrano Antonio, 2020. "High-Frequency Trading and Systemic Risk: A Structured Review of Findings and Policies," Review of Economics, De Gruyter, vol. 71(3), pages 169-195, December.
- Nicholas Hirschey, 2021. "Do High-Frequency Traders Anticipate Buying and Selling Pressure?," Management Science, INFORMS, vol. 67(6), pages 3321-3345, June.
- Ramos, Henrique Pinto & Perlin, Marcelo Scherer, 2020. "Does algorithmic trading harm liquidity? Evidence from Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Angerer, Martin & Neugebauer, Tibor & Shachat, Jason, 2023.
"Arbitrage bots in experimental asset markets,"
Journal of Economic Behavior & Organization, Elsevier, vol. 206(C), pages 262-278.
- Angerer, Martin & Neugebauer, Tibor & Shachat, Jason, 2019. "Arbitrage bots in experimental asset markets," MPRA Paper 96224, University Library of Munich, Germany.
- Roşu, Ioanid, 2019. "Fast and slow informed trading," Journal of Financial Markets, Elsevier, vol. 43(C), pages 1-30.
- Dodd, Olga & Frijns, Bart & Indriawan, Ivan & Pascual, Roberto, 2023. "US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 301-320.
- Aggarwal, Nidhi & Panchapagesan, Venkatesh & Thomas, Susan, 2023.
"When is the order-to-trade ratio fee effective?,"
Journal of Financial Markets, Elsevier, vol. 62(C).
- NIdhi Aggarwal & Venkatesh Panchapagesan & Susan Thomas, 2022. "When is the order-to-trade ratio fee effective?," Working Papers 11, xKDR.
- Brice Corgnet & Mark DeSantis & Christoph Siemroth, 2023.
"Algorithmic Trading, Price Efficiency and Welfare: An Experimental Approach,"
Working Papers
2313, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
- Corgnet, Brice & DeSantis, Mark & Siemroth, Christoph, 2023. "Algorithmic Trading, Price Efficiency and Welfare: An Experimental Approach," Economics Discussion Papers 36273, University of Essex, Department of Economics.
- Bellia, Mario & Pelizzon, Loriana & Subrahmanyam, Marti & Uno, Jun & Yuferova, Darya, 2017.
"Coming early to the party,"
SAFE Working Paper Series
182, Leibniz Institute for Financial Research SAFE.
- Mario Bellia & Loriana Pelizzon & Marti G. Subrahmanyam & Jun Uno & Darya Yuferova, 2020. "Coming early to the party," Working Papers 2020:11, Department of Economics, University of Venice "Ca' Foscari".
- Gerig, Austin & Michayluk, David, 2017.
"Automated liquidity provision,"
Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 1-13.
- Austin Gerig & David Michayluk, 2014. "Automated Liquidity Provision," Research Paper Series 345, Quantitative Finance Research Centre, University of Technology, Sydney.
- Yang, Haijun & Ge, Hengshun & Luo, Ying, 2020. "The optimal bid-ask price strategies of high-frequency trading and the effect on market liquidity," Research in International Business and Finance, Elsevier, vol. 53(C).
- Breckenfelder, Johannes, 2019. "Competition among high-frequency traders, and market quality," Working Paper Series 2290, European Central Bank.
- Albert J. Menkveld & Marius A. Zoican, 2017.
"Need for Speed? Exchange Latency and Liquidity,"
The Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1188-1228.
- Albert J. Menkveld & Marius A. Zoican, 2014. "Need for Speed? Exchange Latency and Liquidity," Tinbergen Institute Discussion Papers 14-097/IV, Tinbergen Institute.
- Albert Menkveld & Marius Andrei Zoican, 2016. "Need for Speed? Exchange Latency and Liquidity," Working Papers hal-01253615, HAL.
- Albert Menkveld & Marius Andrei Zoican, 2017. "Need for Speed? Exchange Latency and Liquidity," Post-Print hal-01501352, HAL.
- Corsetti, Giancarlo & Lafarguette, Romain & Mehl, Arnaud, 2019.
"Fast trading and the virtue of entropy: evidence from the foreign exchange market,"
Working Paper Series
2300, European Central Bank.
- Corsetti, G. & Lafarguette, R. & Mehl, A., 2019. "Fast Trading and the Virtue of Entropy: Evidence from the Foreign Exchange Market," Cambridge Working Papers in Economics 1970, Faculty of Economics, University of Cambridge.
- Giancarlo Corsetti & Romain Lafarguette & Arnaud Mehl, 2019. "Fast Trading and the Virtue of Entropy: Evidence from the Foreign Exchange Market," Discussion Papers 1914, Centre for Macroeconomics (CFM).
- Tomy Lee, 2019.
"Latency in Fragmented Markets,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 128-153, July.
- Tomy Lee, 2019. "Code and data files for "Latency in Fragmented Markets"," Computer Codes 18-287, Review of Economic Dynamics.
- Brogaard, Jonathan & Hendershott, Terrence & Riordan, Ryan, 2017. "High frequency trading and the 2008 short-sale ban," Journal of Financial Economics, Elsevier, vol. 124(1), pages 22-42.
More about this item
Keywords
High frequency trading; Insider; Volatility; Market effciency.;All these keywords.
JEL classification:
- D43 - Microeconomics - - Market Structure, Pricing, and Design - - - Oligopoly and Other Forms of Market Imperfection
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2020-01-27 (Market Microstructure)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:may:mayecw:n296-20.pdf. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/demayie.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.