The Diversity of High-Frequency Traders

By Björn Hagströmer, Lars L. Nordén. 2013

422 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ee747105da24a77ed8dd091816035ccdb66f849b

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

A Dynamic Limit Order Market with Fast and Slow Traders (2014, background): “Hagströmer and Norden (2013) examine trading in Swedish stocks and document that that HFTs display a order-to-trade ratio that is roughly 5 times as large as that of nonHFT.”
Risk and Return in High-Frequency Trading (2018, methodology): “Hagströmer and Nordén (2013) show that HFTs are highly active in this market, constituting around 30% of the trading volume and more than 80% of the order volume.”
News Trading and Speed (2012, neutral): “β t = 1 1− t σu (Σ0 + σ2 v) 1/2 1 ( 1 + σ 2 e σ2 v g )1/2 1 + (1− g)σ(2) v Σ0 1 + σ 2 e σ2 v + σ 2 e σ2 v g 2 + σ 2 e σ2 v + σ 2 e σ2 v g  , (20)”
High Frequency Trading and Price Discovery (2014, methodology): “Hagströmer and Norden (2013) use data from NASDAQ-OMX Stockholm.”
Zero-Commission Individual Investors, High Frequency Traders, and Stock Market Quality (2021, neutral): “Electronic copy available at: https://ssrn.com/abstract=3825030 12 We source market participant identifier (MPID) quote data from ITCH and identify market maker quotes in a manner similar to Hagströmer and Nordén (2013).”
High-Frequency Trading and Extreme Price Movements (2018, positive): “Hagströmer and Nordén (2013) show that the market-making HFTs dominate other HFTs when measured by market presence. Hasbrouck and Saar (2013) find that increased low-latency (high-frequency) activity is associated with narrower spreads, wider displayed depths, and lower short-term volatility.”
High-Frequency Market Making to Large Institutional Trades (2018, neutral): “See, for example, Jovanovic and Menkveld (2011), Menkveld (2013), Hagstromer and Norden (2013), and Brogaard, Hendershott, and Riordan (2014).”
High Frequency Quoting, Trading, and the Efficiency of Prices (2015, background): “Similarly, Hagströmer and Norden (2013) use data on 30 stocks from NASDAQ-OMX Stockholm and find evidence which indicates that market- making HFTs reduce short-term volatility.”
Need for Speed? Exchange Latency and Liquidity (2016, background): “Hagströmer and Norden (2013) document that both HFT types exist on NASDAQ-OMX.”