High-Frequency Trading and Price Informativeness
نویسندگان
چکیده
منابع مشابه
High-Frequency Trading and Price Discovery
We examine the role of high-frequency traders (HFT) in price discovery. Overall HFT play a positive role in price efficiency by trading in the direction of permanent price changes and in the opposite direction of transitory pricing errors on average days and the highest volatility days. This is done through their marketable orders. In contrast, HFT passive non-marketable orders are adversely se...
متن کاملHigh Frequency Trading: Price Dynamics Models and Market Making Strategies
High Frequency Trading (HFT) has recently drawn public and regulatory attention after the “flash crash” in U.S. stock market on May 6, 2010. Data processing and statistical modeling techniques in finance has been revolutionized by the availability of high frequency data on transactions, quotes and order flow in electronic order-driven markets, which has and brought up new theoretical and comput...
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This article contains the first detailed historical study of one of the new high-frequency trading (HFT) firms that have transformed many of the world's financial markets. The study, of Automated Trading Desk (ATD), one of the earliest and most important such firms, focuses on how ATD's algorithms predicted share price changes. The article argues that political-economic struggles are integral t...
متن کاملHigh-Frequency Trading
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متن کاملPrice Informativeness and Investment Sensitivity to Stock Price
The article shows that two measures of the amount of private information in stock price—price nonsynchronicity and probability of informed trading (PIN)—have a strong positive effect on the sensitivity of corporate investment to stock price. Moreover, the effect is robust to the inclusion of controls for managerial information and for other information-related variables. The results suggest tha...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2019
ISSN: 1556-5068
DOI: 10.2139/ssrn.3349653