Trading Fast and Slow: Colocation and Liquidity

Jonathan Brogaard, Björn Hagströmer, Lars Nordén, Ryan Riordan · 2015 · Review of Financial Studies

IntermediateHFTEmpiricalFree to read

When NASDAQ OMX Stockholm sold a premium colocation upgrade, buyers used speed to manage inventory and avoid adverse selection, and liquidity improved.

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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
Assets: Equities
Market: Europe

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Cite

@article{brogaard2015trading,
  author = {Brogaard, Jonathan and Hagströmer, Björn and Nordén, Lars and Riordan, Ryan},
  title = {{Trading Fast and Slow: Colocation and Liquidity}},
  journal = {Review of Financial Studies},
  year = {2015},
  doi = {10.1093/rfs/hhv045}
}

Brogaard, J., Hagströmer, B., Nordén, L., & Riordan, R. (2015). Trading Fast and Slow: Colocation and Liquidity. Review of Financial Studies. https://doi.org/10.1093/rfs/hhv045