What Do We Know About High-Frequency Trading?

By Charles M. Jones. 2013

197 citations recorded by the source corpus.

Subfields: Accounting, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/ea4d2e58da6fa48b9fddebbafc8052edf3278484

How researchers see this paper

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

In Accounting

1. Peter Cramton
2. Peter A. Beling
3. Eric Budish
4. Andrei A. Kirilenko
5. Maureen O’Hara
6. Jeffrey Ng
7. Ryan Lafond
8. Daniel A. Cohen

In Finance

1. Tugkan Tuzun
2. Albert S. Kyle
3. Peter Cramton
4. John J. Shim
5. Eric Budish
6. Andrei A. Kirilenko
7. Maureen O’Hara
8. M. Samadi

In Strategy and Management

1. Eric Budish
2. Andrei A. Kirilenko
3. Maureen O’Hara

Citations in the corpus

• High frequency market microstructure. (2015, background): “There is general, but not universal, agreement that HFT market making enhances market quality by reducing spreads and enhancing informational efficiency (see Jones [2012], Brogaard, Hendershott, and Riordan [2012], Carrion [2013]).”
• High-Frequency Trading and Extreme Price Movements (2018, unknown): “Generally, the rise of HFT has been accompanied by a reduction in trading costs (Angel, Harris and Spatt, 2011; Jones, 2013; Harris, 2013) and an increase in price efficiency (Carrion, 2013; Brogaard, Hendershott and Riordan, 2014; Chaboud, Chiquoine, Hjalmarsson and Vega, 2014).”
• Risk and Return in High-Frequency Trading (2018, unknown): “the competitive trading structure of HFT firms can lead to a winner-takes-all environment, whereby the trader who is first able to identify and respond to a profitable opportunity will capture all the gains (see, for example, Budish, Cramton and Shim, 2013; Jones, 2013; Weller, 2013).”
• The Flash Crash: High-Frequency Trading in an Electronic Market (2017, background): “…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)).”
• Micro-price trading in an order-driven market (2014, background): “However, firms also automate a variety of ad-hoc trading strategies designed to take advantage of time-sensitive information.”
• High‐Frequency Trading around Large Institutional Orders (2019, unknown): “We calculate HFT gross trading revenue (GTR) over the lifetime of the order according to Comerton-Forde, Hendershott, Jones, Moulton, and Seasholes (2010). It is a simple accounting exercise, where HFTs start off with no position in the stock and zero cash, they buy and sell the stock along the way ”
• The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2015, background): “First, we show that correlations completely break down at high-enough frequency.”