Price discovery and the cross-section of high-frequency trading
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- 作者：Evangelos Benosa ; evangelos.benos@bankofengland.co.uk" class="auth_mail" title="E-mail the corresponding author ; Satchit Sagadeb ; sagade@safe.uni-frankfurt.de" class="auth_mail" title="E-mail the corresponding author
- 关键词：G10
- 刊名：Journal of Financial Markets
- 出版年：2016
- 出版时间：September 2016
- 年：2016
- 卷：30
- 期：Complete
- 页码：54-77
- 全文大小：1078 K
文摘
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We analyze how contribution to price discovery varies in the cross-section of HFTs.
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HFTs collectively account for 14% of the trade-related price discovery.
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Of this, 10% is accounted for by aggressive HFTs.
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Aggressive HFTs also trade in the direction of future price changes.
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HFT strategies that rely on aggressive trades have limited scalability.