How Does High-Frequency Trading Affect Low-Frequency Trading?

被引：5

作者：

Li, Kun ^{[1
]}

Cooper, Rick ^{[2
]}

Van Vliet, Ben ^{[2
]}

机构：

[1] Beijing Normal Univ, Beijing, Peoples R China

[2] IIT, Chicago, IL 60616 USA

来源：

JOURNAL OF BEHAVIORAL FINANCE | 2018年 / 19卷 / 02期

关键词：

High-frequency trading; Limit order book; Liquidity; Order execution quality; EXECUTION QUALITY; LIMIT ORDERS; MARKET; DISCLOSURE; LIQUIDITY;

D O I：

10.1080/15427560.2017.1376669

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

High-frequency trading dominates trading in financial markets. How it affects the low-frequency trading, however, is still unclear. Using NASDAQ order book data, the authors investigate this question by categorizing orders as either high or low frequency, and examining several measures. They find that high-frequency trading enhances liquidity by increasing the trade frequency and quantity of low-frequency orders. High-frequency trading also reduces the waiting time of low-frequency limit orders and improves their likelihood of execution. The results indicate that high-frequency trading has a liquidity provision effect and improves the execution quality of low-frequency orders.

引用

页码：235 / 248

页数：14

共 50 条

[1] High-frequency Trading
Rebonato, Riccardo
[J]. QUANTITATIVE FINANCE, 2015, 15 (08) : 1267 - 1271
[2] High-frequency trading
Chordia, Tarun
Goyal, Amit
Lehmann, Bruce N.
Saar, Gideon
[J]. JOURNAL OF FINANCIAL MARKETS, 2013, 16 (04) : 637 - 645
[3] High-frequency trading and institutional trading costs
Chen, Marie
Garriott, Corey
[J]. JOURNAL OF EMPIRICAL FINANCE, 2020, 56 : 74 - 93
[4] Does high-frequency trading increase systemic risk?
Jain, Pankaj K.
Jain, Pawan
McInish, Thomas H.
[J]. JOURNAL OF FINANCIAL MARKETS, 2016, 31 : 1 - 24
[5] IT Infrastructure for High-Frequency Trading
Carasik, Bob
[J]. TWELFTH WUHAN INTERNATIONAL CONFERENCE ON E-BUSINESS, 2013, : 9 - 13
[6] High-Frequency Trading Strategies
Goldstein, Michael
Kwan, Amy
Philip, Richard
[J]. MANAGEMENT SCIENCE, 2023, 69 (08) : 4413 - 4434
[7] Computerized and High-Frequency Trading
Goldstein, Michael A.
Kumar, Pavitra
Graves, Frank C.
[J]. FINANCIAL REVIEW, 2014, 49 (02) : 177 - 202
[8] Algorithmic and High-Frequency Trading
Rosenbaum, Mathieu
[J]. QUANTITATIVE FINANCE, 2018, 18 (01) : 7 - 8
[9] High-Frequency Trading Competition
Brogaard, Jonathan
Garriott, Corey
[J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2019, 54 (04) : 1469 - 1497
[10] ALGORITHMIC AND HIGH-FREQUENCY TRADING
Sajter, Domagoj
[J]. EKONOMSKA MISAO I PRAKSA-ECONOMIC THOUGHT AND PRACTICE, 2013, 22 (01): : 321 - 335

← 1 2 3 4 5 →