High-frequency trading and institutional trading costs / by Marie Chen and Corey Garriott.: FB3-5/2018-8E-PDF
“Using bond futures data, we test whether high-frequency trading (HFT) is engaging in back running, a trading strategy that can create costs for financial institutions. We reject the hypothesis of back running and find instead that HFT mildly improves trading costs for institutions. After a rapid increase in the number of HFTs, trading costs as measured by implementation shortfall decrease by 27 basis points for smaller-sized positions ($2–$10 million notional). For larger-sized positions there is no significant effect. We explain the improvement as being the consequence of HFT reducing effective spreads and per-trade price impacts"--Abstract, p. ii.
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.851560&sl=0
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| Title | High-frequency trading and institutional trading costs / by Marie Chen and Corey Garriott. |
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| Publication type | Monograph - View Master Record |
| Language | [English] |
| Format | Digital text |
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| Description | ii, 44 p. : charts (some col.) |
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