Interactions among High-Frequency Traders
| Autor: | Erik Hjalmarsson, James Brugler, Filip Zikes, Evangelos Benos |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2017 |
| Předmět: |
Economics and Econometrics
Financial economics Monetary economics Price Price discovery Investment banking Business economics Order (exchange) Accounting 0502 economics and business High-Frequency Trading 050207 economics High-frequency trading Correlated Trading Strategies 050208 finance business.industry 05 social sciences Equity (finance) Price pressure jel:G12 correlated trading strategies price discovery jel:G10 jel:G14 Price efficiency Business Finance |
| ISSN: | 0022-1090 1756-6916 |
| Popis: | Using unique transactions data for individual high-frequency trading (HFT) firms in the UK equity market, we examine if the trading activity of individual HFT firms is contemporaneously and dynamically correlated with each other, and what impact this has on price efficiency. We find that HFT order flow exhibits significantly higher commonality than the order flow of a control group of investment banks, both within and across stocks. 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. |
| Databáze: | OpenAIRE |
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