I review the recent high-frequency trader (HFT) literature to single out the economic
channels by which HFTs affect market quality. I first group the various theoretical studies …

We examine the role of high-frequency traders (HFTs) in price discovery and price efficiency.
Overall HFTs facilitate price efficiency by trading in the direction of permanent price changes …

This paper characterizes the trading strategy of a large high frequency trader (HFT). The
HFT incurs a loss on its inventory but earns a profit on the bid–ask spread. Sharpe ratio …

We define low-latency activity as strategies that respond to market events in the millisecond
environment, the hallmark of proprietary trading by high-frequency traders though it could …

We study trading systems using reinforcement learning with three newly proposed methods
to maximize total profits and reflect real financial market situations while overcoming the …

Algorithmic trading (AT) has increased sharply over the past decade. Does it improve market
quality, and should it be encouraged? We provide the first analysis of this question. The New …

The regulatory debate concerning high-frequency trading (HFT) emphasizes the importance
of distinguishing different HFT strategies and their influence on market quality. Using data …

The way in which securities are traded is very different from the idealized picture of a
frictionless and self-equilibrating market offered by the typical finance textbook. In Market …

High speed market connections improve investors׳ ability to search for attractive quotes in
fragmented markets, raising gains from trade. They also enable fast traders to obtain …

Order flow is toxic when it adversely selects market makers, who may be unaware they are
providing liquidity at a loss. We present a new procedure to estimate flow toxicity based on …