Browsing by Author "Benos, Evangelos"

Filter results by typing the first few letters
Now showing 1 - 1 of 1
  • No Thumbnail Available
    Item
    Interactions among High-Frequency Traders
    (2016-12) Benos, Evangelos; Brugler, James; Hjalmarsson, Erik; Zikes, Filip; Dept. of Economics, University of Gothenburg
    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, suggesting that commonality in HFT activity is information-based and so does not generally contribute to undue price pressure and price dislocations.