Interactions among High-Frequency Traders

Evangelos Benos, James Brugler, Erik Hjalmarsson and Filip Zikes

Journal of Financial and Quantitative Analysis, 2017, vol. 52, issue 4, 1375-1402

Abstract: Using unique transactions data for individual high-frequency trading (HFT) firms in the U.K. equity market, we examine the extent to which the trading activity of individual HFT firms is correlated with each other and the impact on price efficiency. We find that HFT order flow, net positions, and total volume exhibit significantly higher commonality than those of a comparison group of investment banks. However, intraday HFT order flow commonality is associated with a permanent price impact, suggesting that commonality in HFT activity is information based and so does not generally contribute to undue price pressure and price dislocations.

Date: 2017
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Related works:
Working Paper: Interactions among High-Frequency Traders (2016)
Working Paper: Interactions among high-frequency traders (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:cup:jfinqa:v:52:y:2017:i:04:p:1375-1402_00

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