High frequency market microstructure

O’Hara, Maureen

Journal of Financial Economics, 2015, vol. 116, issue 2, 257-270

Abstract: Markets are different now, transformed by technology and high frequency trading. In this paper, I investigate the implications of these changes for high frequency market microstructure (HFT). I describe the new high frequency world, with a particular focus on how HFT affects the strategies of traders and markets. I discuss some of the gaps that arise when thinking about microstructure research issues in the high frequency world. I suggest that, like everything else in the markets, research must also change to reflect the new realities of the high frequency world. I propose some topics for this new research agenda in high frequency market microstructure.

Keywords: High frequency trading; Market microstructure; Algorithmic trading (search for similar items in EconPapers)
JEL-codes: D02 D83 G14 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:116:y:2015:i:2:p:257-270

DOI: 10.1016/j.jfineco.2015.01.003

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