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Interactions among ...
Interactions among High-Frequency Traders
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Benos, Evangelos (author)
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Brugler, James (author)
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- Hjalmarsson, Erik, 1975 (author)
- Gothenburg University,Göteborgs universitet,Centrum för finans,Institutionen för nationalekonomi med statistik,Centre for Finance,Department of Economics
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Zikes, Filip (author)
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(creator_code:org_t)
- 2016
- English.
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Series: Working Papers in Economics (online), 1403-2465
- Related links:
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https://gup.ub.gu.se...
Abstract
Subject headings
Close
- Using unique transactions data for individual high-frequency trading (HFT) firms in the U.K. equity market, we examine the extent to which the trading activity of individual HFT firms is correlated with each other and the impact on price effciency. We find that HFT order flow, net positions, and total volume exhibit significantly higher commonality than those of a comparison group of investment banks. However, intraday HFT order flow commonality is associated with a permanent price impact, suggesting that commonality in HFT activity is information-based and so does not generally contribute to undue price pressure and price dislocations.
Subject headings
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Keyword
- High-Frequency Trading
- Correlated Trading Strategies
- Price Discovery
Publication and Content Type
- vet (subject category)
- rap (subject category)
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