High-Frequency Trading Strategies

被引：15

作者：

Goldstein, Michael ^{[1
]}

Kwan, Amy ^{[2
]}

Philip, Richard ^{[3
]}

机构：

[1] Babson Coll, Babson Pk, MA 02457 USA

[2] Univ New South Wales, Sydney, NSW 2052, Australia

[3] Univ Sydney, Camperdown, NSW 2006, Australia

来源：

MANAGEMENT SCIENCE | 2023年 / 69卷 / 08期

关键词：

high-frequency trading; institutional investors; retail investors; ORDER IMBALANCE; MARKET; LIQUIDITY;

D O I：

10.1287/mnsc.2022.4539

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

We examine the effect of high-frequency trading on market quality from the perspective of a limit order trader. By competing with slower limit order traders, high-frequency traders impose a welfare externality by selectively crowding out the most profitable limit orders. The order book imbalance immediately before each order submission, cancellation, and trade suggests that high-frequency traders strategically use limit order book information to supply liquidity on the thick side of the order book and demand liquidity from the thin side. This strategic behavior is more pronounced during volatile periods and when trading speeds increase.

引用

页码：4413 / 4434

页数：22

共 55 条

[31] Does Algorithmic Trading Improve Liquidity? [J].