Price discovery and the cross-section of high-frequency trading
(2016)
Journal Article
Benos, E., & Sagade, S. (2016). Price discovery and the cross-section of high-frequency trading. Journal of Financial Markets, 30, 54-77. https://doi.org/10.1016/j.finmar.2016.03.004
We quantify the price discovery contribution of high-frequency traders (HFTs) in the United Kingdom equity market and examine how it varies in their cross-section. For this, we group individual HFTs according to their liquidity taking/making activity... Read More about Price discovery and the cross-section of high-frequency trading.