Text
High Frequency Trading and Price Discovery
We examine the role of high-frequency traders (HFTs) in price discovery and price efficiency. Overall 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 days. This is done through their liquidity demanding orders. In contrast, HFTs? liquidity supplying orders are adversely selected. The direction of buying and selling by HFTs predicts price changes over short horizons measured in seconds. The direction of HFTs? trading is correlated with public information, such as macro news announcements, market-wide price movements, and limit order book imbalances..Printed Journal
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| RFS2708 | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | Oxford Oxford University Press., |
|---|---|
| Edisi | - |
| Subjek | Price discovery high frequency trading price formation pricing errors |
| ISBN/ISSN | 8939454 |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |