منابع مشابه
Do retail traders suffer from high frequency traders?
Using a change in regulatory fees in Canada in April 2012 that affected algorithmic quoting activities, we analyze the impact of high frequency quoting and trading on market quality, trader behavior, and trading costs and profits. Following the change, algorithmic message traffic, i.e. the number of orders, trades, and order cancellations, dropped by 30% and the bid-ask spread rose by 9%. Using...
متن کاملOptimal Strategies of High Frequency Traders
This paper develops a continuous-time model of the optimal strategies of high-frequency traders (HFTs) to rationalize their pinging activities. Pinging, or the most aggressive fleeting orders, is defined as limit orders submitted inside the bid-ask spread that are cancelled shortly thereafter. The current worry is that HFTs utilize their speed advantage to ping inside the spread to manipulate t...
متن کاملE ects of Information Transmission by High Frequency Traders on Market Quality
We develop a two period model of trade where an insider, a noise trader, a high frequency trader (HFT) and a market maker trade a divisible asset that has a common value in two parallel markets. The market makers set competitive prices in both markets. We analyze the e ects of the high frequency trader, who can gain from observing prices across markets, on market quality. Even though informed t...
متن کاملStudies of interactions between human traders and Algorithmic Trading Systems
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متن کاملInteractions among spatial frequency and orientation channels adapted concurrently.
Interactions between size and orientation-specific mechanisms in the human visual system were investigated using a sequential adaptation technique. Subjects adapted to a vertical, 4 c/deg high-contrast (0.7) sinewave grating that was interleaved at a rate of 0.5 Hz with another adapting grating differing either in (1) spatial frequency or (2) orientation. Before and after adaptation contrast th...
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ژورنال
عنوان ژورنال: Journal of Financial and Quantitative Analysis
سال: 2017
ISSN: 0022-1090,1756-6916
DOI: 10.1017/s0022109017000485