Arbeitspapier
High-frequency trading competition
We analyze trading dynamics as successive high-frequency trading (HFT) firms begin to trade stocks in an equity market. Entrants compete with incumbents for volume, and there is crowding out. Earlier entry is associated with larger effects. After Passive HFT entry, incumbent spreads tighten. After Aggressive HFT entry, incumbent order flow loses informedness. Revenue data suggest entry reduces the profitability of HFT activity. The results show that part of the value of HFT comes from its competitiveness.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Canada Working Paper ; No. 2014-19
- Klassifikation
-
Wirtschaft
Financial Institutions and Services: General
Information and Market Efficiency; Event Studies; Insider Trading
- Thema
-
Financial markets
Market structure and pricing
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Brogaard, Jonathan
Garriott, Corey
Pomeranets, Anna
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Canada
- (wo)
-
Ottawa
- (wann)
-
2014
- DOI
-
doi:10.34989/swp-2014-19
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Brogaard, Jonathan
- Garriott, Corey
- Pomeranets, Anna
- Bank of Canada
Entstanden
- 2014
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