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 …

Are endogenous liquidity providers (ELPs) reliable in times of market stress? We examine
the activity of a common ELP type—high frequency traders (HFTs)—around extreme price …

We study performance and competition among firms engaging in high-frequency trading
(HFT). We construct measures of latency and find that differences in relative latency account …

This paper considers the role of high-frequency trading in a dynamic limit order market. Fast
traders׳ ability to revise their quotes quickly after news arrivals helps to reduce the …

We study market-making high-frequency trader (HFT) dynamics around large institutional
trades in Canadian equities markets using order-level data with masked trader identification …

Modern markets are characterized by speed differentials, with some traders being fractions
of a second faster than others. Theoretical models suggest that such differentials may have …

A faster exchange does not necessarily improve liquidity. On the one hand, speed enables a
high-frequency market maker (HFM) to update quotes faster on incoming news. This …

The rise of high-frequency traders (hereafter HFTs), that is, investors using computers to
trade securities over extremely short time intervals, is a major change in securities markets …

We use stock exchange message data to quantify the negative aspect of high-frequency
trading, known as “latency arbitrage.” The key difference between message data and widely …