The implications of high-frequency trading on market efficiency and price discovery

被引：8
|
作者：
Manahov, Viktor [1 ]
Hudson, Robert [2 ]
机构：
[1] Newcastle Univ, Newcastle Upon Tyne NE1 7RU, Tyne & Wear, England
[2] Univ Hull, Kingston Upon Hull, Yorks, England
来源：
APPLIED ECONOMICS LETTERS | 2014年 / 21卷 / 16期
关键词：
high-frequency trading; price efficiency; G10; G12;
D O I：
10.1080/13504851.2014.914135
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This study investigates the implications of high-frequency trading (HFT) on market efficiency and price discovery by using state-space models and real-life one-minute high-frequency data of the six most traded currency pairs worldwide - USD/EUR, USD/JPY, USD/GBP, USD/AUD, USD/CHF and USD/CAD. We found significant evidence that HFT enhances market efficiency and has a beneficial role in price discovery by trading in the direction of the permanent component of the state-space model and in the opposite direction of its transitory component.
引用
收藏
页码：1148 / 1151
页数：4
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