The Economics of High-Frequency Trading: Taking Stock

被引：113
作者：
Menkveld, Albert J. [1 ,2 ]
机构：
[1] Vrije Univ Amsterdam, Dept Finance, NL-1081 HV Amsterdam, Netherlands
[2] Tinbergen Inst Amsterdam, NL-1082 MS Amsterdam, Netherlands
来源：
ANNUAL REVIEW OF FINANCIAL ECONOMICS, VOL 8 | 2016年 / 8卷
关键词：
high-frequency trading; electronic markets; microstructure; FOREIGN-EXCHANGE; FLOW TOXICITY; MARKET; LIQUIDITY; SLOW; MICROSTRUCTURE; INFORMATION; COMPETITION; AUCTIONS;
D O I：
10.1146/annurev-financial-121415-033010
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
I review the recent high-frequency trader (HFT) literature to single out the economic channels by which HFTs affect market quality. I first group the various theoretical studies according to common denominators and discuss the economic costs and benefits they identify. For each group, I then review the empirical literature that speaks to either the models' assumptions or their predictions. This enables me to come to a data-weighted judgement on the economic value of HFTs.
引用
收藏
页码：1 / 24
页数：24
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