High frequency trading and market quality: Causal evidence from HFT entry
High frequency trading and market quality: Causal evidence from HFT entry
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Publisher
London: Centre for Business & Economic Research
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Language
English
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Publisher
London: Centre for Business & Economic Research
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Contents
This paper tests the effect of high frequency trading (HFT) on market quality. We exploit cross-sectional and time series variation in the entry of HFT participants from 2008 to 2012 in a differences-in- differences analysis. HFT causes spreads to tighten, lowers volatility, and increases depth overall. The impact on market quality varies by the ty...
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Full title
High frequency trading and market quality: Causal evidence from HFT entry
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TN_cdi_proquest_journals_1440309173
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_1440309173
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ISSN
2047-2854
E-ISSN
2047-2862
