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High frequency trading

ROCK AROUND THE CLOCK: AN AGENT-BASED MODEL OF LOW AND HIGH-FREQUENCY TRADING (OFCE)
Thu, 2014-05-01 15:34
A working paper by Sandrine Jacob Leal, Mauro Napoletano, Andrea Roventini (February 2014)

High-frequency trading: We need more data by James Pethokoukis
Thu, 2014-05-01 15:51
Are high-frequency algobots an innovation more like automatic-teller machines or collateralized debt obligations?

Something I Do Not Understand About the Defenders of High-Frequency Trading in the Debate Over HFT by Brad DeLong
Thu, 2014-05-01 16:04
" Additional investors, even uninformed investors, bring risk-bearing capacity. Additional informed traders bring information. Additional HFTs bring… what, exactly?"

The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response University of Chicago-University of Maryland)
Thu, 2014-05-01 16:11
A working paper by Eric Budish, Peter Cramton, and John Shim (December 2013)

Has Automated Trading Promoted Efficiency in the FX Spot Market? by Ernst Schaumburg
Thu, 2014-05-01 16:24
the rise in algorithmic and high-frequency trading enhanced market efficiency as measured by the availability and persistence of pricing arbitrage opportunities available in the FX spot market.

An Idiot's Guide to High-Frequency Trading (HFT) by Kim Schoenholtz
Thu, 2014-05-01 16:33
Mechanisms that place a grain of sand in the HFT wheels may be able to preserve the liquidity benefits of improved technology while reducing its costly side effects.

The Flash Crash: The Impact of High Frequency Trading on an Electronic Market (MIT-University of Maryland-UNC-FRB)
Thu, 2014-05-01 16:48
A working paper by Andrei Kirilenko, Mehrdad Samadi, Albert S. Kyle, Tugkan Tuzun (May 2011)

High Frequency Quoting: Short-Term Volatility in Bids and Offers (New York University)
Thu, 2014-05-01 16:53
A working paper by Joel Hasbrouck (August 2013)


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