High frequency trading and the new market makers

Albert J. Menkveld · 2013 · Journal of Financial Markets

BeginnerHFTEmpiricalFree to read

Anatomy of one HFT market maker across Chi-X and Euronext: tiny per-trade margins, flat inventory, profit from the spread minus adverse selection.

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At a glance

Level: Beginner: No prior microstructure or stochastic calculus needed
Horizon: HFT
Data needed: Trades, L1 quotes Set what data you have
Themes: Market making HFT & market design
Assets: Equities
Market: Europe

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Market making, from dealers to HFT

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Cite

@article{menkveld2013high,
  author = {Menkveld, Albert J.},
  title = {{High frequency trading and the new market makers}},
  journal = {Journal of Financial Markets},
  year = {2013},
  doi = {10.1016/j.finmar.2013.06.006}
}

Menkveld, A. J. (2013). High frequency trading and the new market makers. Journal of Financial Markets. https://doi.org/10.1016/j.finmar.2013.06.006