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Interactions among High-Frequency Traders

Report
Authors Evangelos Benos
James Brugler
Erik Hjalmarsson
Filip Zikes
Publication year 2016
Published at Centre for Finance
Department of Economics
Language en
Links hdl.handle.net/2077/50717
Keywords High-Frequency Trading, Correlated Trading Strategies, Price Discovery
Subject categories Economics

Abstract

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.

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Denna text är utskriven från följande webbsida:
http://www.gu.se/english/research/publication/?publicationId=247551
Utskriftsdatum: 2019-08-25