High Frequency Quoting , Trading , and the Efficiency of Prices

@inproceedings{Conrad2014HighFQ,
  title={High Frequency Quoting , Trading , and the Efficiency of Prices},
  author={Jennifer Conrad and Kenan Flagler},
  year={2014}
}
We examine the relation between high frequency quotation and the behavior of stock prices between 2009 and 2011 for the full cross-section of securities in the U.S. On average, higher quotation activity is associated with price series that more closely resemble a random walk, and significantly lower cost of trading. We also explore market resiliency during periods of exceptionally high low-latency trading: large liquidity drawdowns in which, within the same millisecond, trading algorithms… CONTINUE READING