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Price discovery and the cross-section of high-frequency trading (2016)
Journal Article
Dufour, A., Benos, E., Hunt, S., Hargreaves, S., & Rowe, T. (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.