Very fast money: High-frequency trading on the NASDAQ
Journal of Financial Markets, 2013, vol. 16, issue 4, 680-711
This paper provides evidence regarding high-frequency trader (HFT) trading performance, trading costs, and effects on market efficiency using a sample of NASDAQ trades and quotes that directly identifies HFT participation. I find that HFTs engage in successful intra-day market timing, spreads are wider when HFTs provide liquidity and tighter when HFTs take liquidity, and prices incorporate information from order flow and market-wide returns more efficiently on days when HFT participation is high.
Keywords: High-frequency trading; Trading performance; Intraday return predictability; VWAP; Trading costs; Adverse selection; Market efficiency (search for similar items in EconPapers)
JEL-codes: G1 G2 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:16:y:2013:i:4:p:680-711
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