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The Economics of High-Frequency Trading: Taking Stock

The Economics of High-Frequency Trading: Taking Stock 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Annual Review of Financial Economics Annual Reviews

The Economics of High-Frequency Trading: Taking Stock

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Publisher
Annual Reviews
Copyright
Copyright © 2016 by Annual Reviews. All rights reserved JEL code: G10
ISSN
1941-1367
eISSN
1941-1375
DOI
10.1146/annurev-financial-121415-033010
Publisher site
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Abstract

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.

Journal

Annual Review of Financial Economics – Annual Reviews

Published: Oct 23, 2016

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