HFT, speed and market design
The Economics of High-Frequency Trading: Taking Stock
Short survey of what research says HFTs do, earn and cost. The best entry point into the empirical HFT literature.
Does Algorithmic Trading Improve Liquidity?
Using the NYSE autoquote rollout as a natural experiment, algorithmic trading narrows spreads and makes quotes more informative.
High-Frequency Trading and Price Discovery
HFTs trade in the direction of permanent price changes and against transitory errors. Their market orders are informed; their limit orders get adversely selected.
Low-latency trading
Identifies 'strategic runs' of linked messages in NASDAQ order data; more low-latency activity goes with tighter spreads and more depth.
The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response
The ES-SPY correlation breaks down at millisecond horizons, creating mechanical sniping profits. Proposes frequent batch auctions as the fix.
Why Trading Speed Matters: A Tale of Queue Rationing under Price Controls
With a binding tick size, speed buys queue priority, so HFTs provide more liquidity in large-tick stocks. Key for tick-constrained Indian names.
Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity, and Trading Costs
When rain disrupts microwave links and removes the speed edge, adverse selection falls and liquidity improves.
Quantifying the High-Frequency Trading "Arms Race"
Exchange message data from the LSE shows latency races are frequent, last microseconds and impose a measurable tax on liquidity.