Very fast money: High-frequency trading on the NASDAQ
Abstract
This paper provides evidence regarding high-frequency trader (HFT) trading performance, trading costs, and effects on market efficiency using a sample of NASDAQ trades and quotes that directly identifies HFT participation. I find that HFTs engage in successful intra-day market timing, spreads are wider when HFTs provide liquidity and tighter when HFTs take liquidity, and prices incorporate information from order flow and market-wide returns more efficiently on days when HFT participation is high. © 2013 Elsevier B.V.
Publication Title
Journal of Financial Markets
Recommended Citation
Carrion, A. (2013). Very fast money: High-frequency trading on the NASDAQ. Journal of Financial Markets, 16 (4), 680-711. https://doi.org/10.1016/j.finmar.2013.06.005
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