High frequency trading, price discovery and market efficiency in the FTSE100

Vitor Leone and Frank Kwabi

Economics Letters, 2019, vol. 181, issue C, 174-177

Abstract: This study examines the role of high frequency trading in price discovery and efficiency in the FTSE100 index tick changes. We find that there is no random walk when investors extract information at a millisecond to a second.

Keywords: High frequency trading; Price discovery; Market efficiency (search for similar items in EconPapers)
JEL-codes: C1 G1 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:181:y:2019:i:c:p:174-177

DOI: 10.1016/j.econlet.2019.05.022

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