The Economics of High-Frequency Trading: Taking Stock

Albert Menkveld

Annual Review of Financial Economics, 2016, vol. 8, issue 1, 1-24

Abstract: I review the recent high-frequency trader (HFT) literature to single out the economic channels by which HFTs affect market quality. I first group the various theoretical studies according to common denominators and discuss the economic costs and benefits they identify. For each group, I then review the empirical literature that speaks to either the models’ assumptions or their predictions. This enables me to come to a data-weighted judgement on the economic value of HFTs.

Keywords: high-frequency trading; electronic markets; microstructure (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (109)

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