High Frequency Trading and the New-Market Makers
@article{Menkveld2013HighFT, title={High Frequency Trading and the New-Market Makers}, author={Albert J. Menkveld}, journal={Capital Markets: Market Microstructure eJournal}, year={2013} }
This paper characterizes the trading strategy of a large high-frequency trader (HFT). The HFT incurs a loss on its inventory but earns a profit on the bid-ask spread. Sharpe ratio calculations show that performance is very sensitive to cost of capital assumptions. The HFT employs a cross-market strategy as half of its trades materialize on a large incumbent market and the other half on a small, high-growth entrant market. Trade participation rates are 8.1% and 64.4%, respectively. In both… Expand
References
SHOWING 1-10 OF 38 REFERENCES
Liquidity Cycles and Make/Take Fees in Electronic Markets
- Economics, Business
- 2009
- 159
- Highly Influential
- PDF