Risk and Return in High-Frequency Trading

被引：89

作者：

Baron, Matthew ^{[1
]}

Brogaard, Jonathan ^{[2
]}

Hagstromer, Bjorn ^{[3
]}

Kirilenko, Andrei ^{[4
]}

机构：

[1] Cornell Univ, Johnson Grad Sch Management, Ithaca, NY 14853 USA

[2] Univ Utah, Eccles Sch Business, Salt Lake City, UT 84112 USA

[3] Stockholm Univ, Business Sch, Stockholm, Sweden

[4] Imperial Coll Business Sch, London, England

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2019年 / 54卷 / 03期

关键词：

MARKET; EQUILIBRIUM;

D O I：

10.1017/S0022109018001096

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study performance and competition among firms engaging in high-frequency trading (HFT). We construct measures of latency and find that differences in relative latency account for large differences in HFT firms' trading performance. HFT firms that improve their latency rank due to colocation upgrades see improved trading performance. The stronger performance associated with speed comes through both the short-lived information channel and the risk management channel, and speed is useful for various strategies, including market making and cross-market arbitrage. We find empirical support for many predictions regarding relative latency competition.

引用

页码：993 / 1024

页数：32

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