High frequency trading and the new market makers

By Albert J. Menkveld. 2013

733 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d2a0d291c1a3028e4d1d5605efcece6dd6653ac5

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

In Economics and Econometrics

In Finance

Citations in the corpus

Shackling Short Sellers: The 2008 Shorting Ban (2013, background): “In addition, the direct evidence in Menkveld (2013) indicates that high-frequency liquidity providers could account for a good bit of the observed shorting activity.”
Dealing with the inventory risk: a solution to the market making problem (2011, background): “liquidity-providing) behavior – a typical balance between passive and aggressive orders for such market participants being around 80% of passive interactions (see [22]).”
High-Frequency Market Making to Large Institutional Trades (2018, unknown): “Hendershott, Jones, and Menkveld (2011) show that market quality increases”
The Flash Crash: High-Frequency Trading in an Electronic Market (2017, unknown): “…frequency traders, or high frequency market makers (see Ait-Sahalia and Saglam (2016), Jovanovic and Menkveld (2016), Biais, Foucault, and Moinas (2015), as well as empirical studies by Menkveld (2013), Brogaard, Hendershott, and Riordan (2014), and Carrion (2013), and a survey by Jones (2013)).”
Optimal order placement in limit order markets (2012, background): “A reduced-form model for routing an infinitesimal limit order to one destination is presented in Moallemi et al. (2012), Almgren and Harts (2008) propose a market order routing”
High‐Frequency Trading and Market Performance (2020, unknown): “…the spread (or generally improves liquidity) is provided by Brogaard (2010), Hendershott, Jones, and Menkveld (2011), Hasbrouck and Saar (2013), Menkveld (2013), Frino, Mollica, and Webb (2014), Brogaard et al. (2015), Conrad, Wahal, and Xiang (2015), Boehmer, Fong, and Wu (2018), and…”
Anomalous price impact and the critical nature of liquidity in financial markets (2011, background): “These empirical results come either from proprietary trading strategies (and are often not published), or from brokerage firms, who execute on behalf of clients [4, 5, 6, 7, 8], or else from the exchanges, who give exceptional access to identification codes that allow one to reconstruct the metaorde”
The Economics of High-Frequency Trading: Taking Stock (2016, background): “Menkveld (2013) and Brogaard, Hendershott & Riordan (2014b) find that also HFMs are adversely selected on their quotes.”
Data-Driven Market-Making via Model-Free Learning (2020, background): “…movements in the mid price do not affect the decisions regarding where to place an order, which aligns with the market-making strategy structure in [Menkveld, 2013]; (3) the optimal market-making strategy depends on the level of inventory, and maintaining inventory near zero is preferable, which…”
A Dynamic Limit Order Market with Fast and Slow Traders (2014, unknown): “…summary, this stream of the literature concludes that automated trading strategies improve liquidity (Hendershott et al. (2011), ouck and Saar (2011)), are highly profitable (e.g. 6 Menkveld (2012)), and contribute to price discovery (e.g. Hendershott and Riordan (2012), Hendershott et al. (2012)).”
Risk and Return in High-Frequency Trading (2018, unknown): “Menkveld (2013) has previously calculated the annualized Sharpe ratio of an HFT firm trading in equities markets to be 9.”
Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis (2013, background): “Consistently with [Menkveld, 2010] and [Brogaard et al., 2012], they are modelled as: fast, using smaller orders than institutional investors, and taking decisions according to the immediate state of the orderbook (in our vocabulary, they are “Smart Order Router” users).”
The Diversity of High-Frequency Traders (2013, unknown): “The HFT group liquidity supply ratios around 55‐59% are much lower than the 74‐79% observed by Jovanovic and Menkveld (2011) for one HFT market maker trading Dutch stocks at Chi‐X.”
High Frequency Trading (2014, unknown): “Panel A, borrowed from Jovanovic &Menkveld (2010), plots the dynamics on January 30, 2008, of the inventory of the high-frequency trader they study.”