The Economics of High-Frequency Trading: Taking Stock

Albert J. Menkveld · 2016 · Annual Review of Financial Economics

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Short survey of what research says HFTs do, earn and cost. The best entry point into the empirical HFT literature.

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At a glance

Level: Beginner: No prior microstructure or stochastic calculus needed
Horizon: HFT
Data needed: None to read it; no dataset required Set what data you have
Themes: HFT & market design
Assets: Equities
Market: Global

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Cite

@article{menkveld2016economics,
  author = {Menkveld, Albert J.},
  title = {{The Economics of High-Frequency Trading: Taking Stock}},
  journal = {Annual Review of Financial Economics},
  year = {2016},
  doi = {10.1146/annurev-financial-121415-033010}
}

Menkveld, A. J. (2016). The Economics of High-Frequency Trading: Taking Stock. Annual Review of Financial Economics. https://doi.org/10.1146/annurev-financial-121415-033010