High frequency trading and price discovery
High frequency trading and price discovery
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St. Louis: Federal Reserve Bank of St. Louis
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English
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St. Louis: Federal Reserve Bank of St. Louis
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We examine empirically the role of high-frequency traders (HFTs) in price discovery and price efficiency. Based on our methodology, we find overall that HFTs facilitate price efficiency by trading in the direction of permanent price changes and in the opposite direction of transitory pricing errors, both on average and on the highest volatility day...
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High frequency trading and price discovery
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TN_cdi_proquest_journals_1698274021
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_1698274021
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https://www.proquest.com/docview/1698274021?pq-origsite=primo&accountid=13902
