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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Bank of Canada Working Paper ; No. 2014-19
- Classification
-
Wirtschaft
Financial Institutions and Services: General
Information and Market Efficiency; Event Studies; Insider Trading
- Subject
-
Financial markets
Market structure and pricing
- Event
-
Geistige Schöpfung
- (who)
-
Brogaard, Jonathan
Garriott, Corey
Pomeranets, Anna
- Event
-
Veröffentlichung
- (who)
-
Bank of Canada
- (where)
-
Ottawa
- (when)
-
2014
- DOI
-
doi:10.34989/swp-2014-19
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Brogaard, Jonathan
- Garriott, Corey
- Pomeranets, Anna
- Bank of Canada
Time of origin
- 2014
Other Objects (12)
High-frequency trading and institutional trading costs
High-frequency real economic activity indicator for Canada
High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market
Electronic transactions as high-frequency indicators of economic activity
What are the macroeconomic effects of high-frequency uncertainty shocks
Financial intermediaries and the macroeconomy: Evidence from a high-frequency identification
Payment habits during COVID-19: Evidence from high-frequency transaction data
Mixed frequency forecasts for Chinese GDP
Do high-frequency financial data help forecast oil prices? The MIDAS touch at work
An overview of carbon markets and emissions trading: Lessons for Canada
Relative prices, trading gains, and real GDI: The case of Canada
Imperfect banking competition and macroeconomic volatility: A DSGE framework
High-frequency trading and institutional trading costs
High-frequency real economic activity indicator for Canada
High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market
Electronic transactions as high-frequency indicators of economic activity
What are the macroeconomic effects of high-frequency uncertainty shocks
Financial intermediaries and the macroeconomy: Evidence from a high-frequency identification
Payment habits during COVID-19: Evidence from high-frequency transaction data
Mixed frequency forecasts for Chinese GDP
Do high-frequency financial data help forecast oil prices? The MIDAS touch at work
An overview of carbon markets and emissions trading: Lessons for Canada
Relative prices, trading gains, and real GDI: The case of Canada
Imperfect banking competition and macroeconomic volatility: A DSGE framework
High-frequency trading and institutional trading costs
High-frequency real economic activity indicator for Canada
High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market
Electronic transactions as high-frequency indicators of economic activity
What are the macroeconomic effects of high-frequency uncertainty shocks
Financial intermediaries and the macroeconomy: Evidence from a high-frequency identification
Payment habits during COVID-19: Evidence from high-frequency transaction data
Mixed frequency forecasts for Chinese GDP
Do high-frequency financial data help forecast oil prices? The MIDAS touch at work
An overview of carbon markets and emissions trading: Lessons for Canada
Relative prices, trading gains, and real GDI: The case of Canada