Low Latency Trading and the Comovement of Order Flow, Prices, and Market Conditions

Ekkehart Boehmer, R. L. Shankar · 2014 · NSE-NYU Stern Working Paper

IntermediateHFTEmpiricalFree to read

Order-level NSE data around the co-location launch: more algorithmic trading reduces commonality in order flow, returns, liquidity and volatility across stocks, which argues against the idea that low-latency trading raises systemic risk.

Read the paper ↗

At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: HFT
Data needed: L3/MBO (order-level) Set what data you have
Themes: HFT & market design Order-flow alpha
Assets: Equities
Market: India

Your notes

Report a problem with this entry

Step 7 of 7 in

The Indian market: who trades, who loses, who leads

← The causal impact of algorithmic trading on market quality

Cite

@misc{boehmer2014latency,
  author = {Boehmer, Ekkehart and Shankar, R. L.},
  title = {{Low Latency Trading and the Comovement of Order Flow, Prices, and Market Conditions}},
  howpublished = {NSE-NYU Stern Working Paper},
  year = {2014},
  url = {https://www.abfer.org/media/abfer-events-2014/annual-conference/investment-finance/low-latency-trading-and-comovement-of-order-flow-andprices.pdf}
}

Boehmer, E., & Shankar, R. L. (2014). Low Latency Trading and the Comovement of Order Flow, Prices, and Market Conditions. NSE-NYU Stern Working Paper. https://www.abfer.org/media/abfer-events-2014/annual-conference/investment-finance/low-latency-trading-and-comovement-of-order-flow-andprices.pdf