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Interactions among High-Frequency Traders


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Title: Interactions among High-Frequency Traders
Authors: Benos, Evangelos
Brugler, James
Hjalmarsson, Erik
Zikes, Filip
Issue Date: Dec-2016
Extent: 48
Publication type: report
Organization: Dept. of Economics, University of Gothenburg
Series/Report no.: Working Papers in Economics
680
Keywords: High-Frequency Trading
Correlated Trading Strategies
Price Discovery
Abstract: Using unique transactions data for individual high-frequency trading (HFT) firms in the U.K. equity market, we examine the extent to which the trading activity of individual HFT firms is correlated with each other and the impact on price effciency. We find that HFT order flow, net positions, and total volume exhibit significantly higher commonality than those of a comparison group of investment banks. However, intraday HFT order flow commonality is associated with a permanent price impact, sugge... more
ISSN: 1403-2465
Description: JEL: G10, G12, G14
URI: http://hdl.handle.net/2077/50717
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