Market Microstructure and the Risks of High-Frequency Trading

@inproceedings{Aldridge2013MarketMA,
  title={Market Microstructure and the Risks of High-Frequency Trading},
  author={Irene E. Aldridge},
  year={2013}
}
The current research assesses the risks commonly attributed to the presence of HFT in the context of different market structures deployed by the U.S. exchanges. In particular, we find that, by design, the so-called “normal” exchanges have the lowest market quality, including the highest proportion of limit orders cancelled, the lowest ability to detect spoofing market manipulation, the highest volatility and probability of market crashes, yet the highest liquidity. The so-called “inverted… CONTINUE READING

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