High-Frequency Trading Competition

被引：41
|
作者：
Brogaard, Jonathan [1 ]
Garriott, Corey [2 ]
机构：
[1] Univ Utah, Eccles Sch Business, Salt Lake City, UT 84112 USA
[2] Bank Canada, Financial Markets Dept, Ottawa, ON, Canada
来源：
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2019年 / 54卷 / 04期
关键词：
MARKET; EQUILIBRIUM; RISK;
D O I：
10.1017/S0022109018001175
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Theory on high-frequency traders (HFTs) predicts that market liquidity for a security decreases in the number of HFTs trading the security. We test this prediction by studying a new Canadian stock exchange, Alpha, that experienced the entry of 11 HFTs over 4 years. We find that bid-ask spreads on Alpha converge to those at the Toronto Stock Exchange as more HFTs trade on Alpha. Effective and realized spreads for non-HFTs improve as HFTs enter the market. To explain the contrast with theory, which models the HFT as a price competitor, we provide evidence more consistent with HFTs fitting a quantity-competitor framework.
引用
收藏
页码：1469 / 1497
页数：29
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