High-Frequency Trading and Price Discovery

被引：506

作者：

Brogaard, Jonathan ^{[1
]}

Hendershott, Terrence ^{[2
]}

Riordan, Ryan ^{[3
]}

机构：

[1] Univ Washington, Seattle, WA 98195 USA

[2] Univ Calif Berkeley, Berkeley, CA 94720 USA

[3] Univ Western Ontario, Inst Technol, London, ON N6A 3K7, Canada

来源：

REVIEW OF FINANCIAL STUDIES | 2014年 / 27卷 / 08期

基金：

美国国家科学基金会;

关键词：

INFORMATION-CONTENT; EMPIRICAL-ANALYSIS; FLOW TOXICITY; MARKET; LIQUIDITY; TRANSACTIONS;

D O I：

10.1093/rfs/hhu032

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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 HFTs' trading 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.

引用

页码：2267 / 2306

页数：40

共 44 条

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