Are Large Traders Harmed by Front-running HFTs?
نویسندگان
چکیده
This paper studies the influences of a high-frequency trader (HFT) on large whose future trading is predicted by former. We conclude that HFT always front-runs and benefited when: (1) there sufficient high-speed noise trading; (2) HFT's prediction vague enough. Besides, we find surprisingly making less accurate might decrease trader's profit; when little trading, although nearly does nothing, still hurt.
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ژورنال
عنوان ژورنال: Procedia Computer Science
سال: 2023
ISSN: ['1877-0509']
DOI: https://doi.org/10.1016/j.procs.2023.08.007