EVANGELOS BENOS Evangelos.Benos@nottingham.ac.uk
Chair in Finance, risk and Banking
Interactions among High-Frequency Traders
Benos, Evangelos; Brugler, James; Hjalmarsson, Erik; Zikes, Filip
Authors
James Brugler
Erik Hjalmarsson
Filip Zikes
Abstract
Using unique transactions data for individual high-frequency trading (HFT) firms in the U.K. equity market, we examine the extent to which the trading activity of individual HFT firms is correlated with each other and the impact on price efficiency. We find that HFT order flow, net positions, and total volume exhibit significantly higher commonality than those of a comparison group of investment banks. However, intraday HFT order flow commonality is associated with a permanent price impact, suggesting that commonality in HFT activity is information-based and so does not generally contribute to undue price pressure and price dislocations.
Citation
Benos, E., Brugler, J., Hjalmarsson, E., & Zikes, F. (2017). Interactions among High-Frequency Traders. Journal of Financial and Quantitative Analysis, 52(4), 1375-1402. https://doi.org/10.1017/S0022109017000485
Journal Article Type | Article |
---|---|
Acceptance Date | Dec 1, 2016 |
Online Publication Date | Jul 25, 2017 |
Publication Date | 2017-08 |
Deposit Date | Apr 23, 2020 |
Publicly Available Date | Mar 28, 2024 |
Journal | Journal of Financial and Quantitative Analysis |
Print ISSN | 0022-1090 |
Electronic ISSN | 1756-6916 |
Publisher | Cambridge University Press |
Peer Reviewed | Peer Reviewed |
Volume | 52 |
Issue | 4 |
Pages | 1375-1402 |
DOI | https://doi.org/10.1017/S0022109017000485 |
Keywords | High-Frequency Trading; Correlated Trading Strategies; Price |
Public URL | https://nottingham-repository.worktribe.com/output/4330020 |
Publisher URL | https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/interactions-among-highfrequency-traders/612E11C847D117B16886B530F18BD1F1 |
Additional Information | License: Copyright © Michael G. Foster School of Business, University of Washington 2017 |
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