00000nam 2200000za 4500 9.851560 CaOODSP 20221107154415 cr ||||||||||| 180212s2018 oncd ob f000 0 eng d CaOODSP eng eng fre n-cn--- FB3-5/2018-8E-PDF Chen, Marie. High-frequency trading and institutional trading costs [electronic resource] / by Marie Chen and Corey Garriott. [Ottawa] : Bank of Canada, 2018. ii, 44 p. : charts (some col.) Bank of Canada staff working paper, 1701-9397 ; 2018-8 "February 2018." Includes bibliographical references (p. 26-27). “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. Includes abstract in French. gccst Stock markets gccst Financial institutions Electronic trading of securities Garriott, Corey. Bank of Canada. Staff working paper (Bank of Canada) 1701-9397 ; 2018-8 (CaOODSP)9.806221 PDF 1.91 MB https://publications.gc.ca/collections/collection_2018/banque-bank-canada/FB3-5-2018-8-eng.pdf