Technologies have spawned finance innovations since the early days of computer
applications in businesses, most recently reaching the stage of disruptive innovations, such …

I review the recent high-frequency trader (HFT) literature to single out the economic
channels by which HFTs affect market quality. I first group the various theoretical studies …

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 …

We define low-latency activity as strategies that respond to market events in the millisecond
environment, the hallmark of proprietary trading by high-frequency traders though it could …

We study the impact of algorithmic trading (AT) in the foreign exchange market using a long
time series of high‐frequency data that identify computer‐generated trading activity. We find …

This paper applies the Least Absolute Shrinkage and Selection Operator (LASSO) to make
rolling one‐minute‐ahead return forecasts using the entire cross‐section of lagged returns …

We compare the optimal trading strategy of an informed speculator when he can trade
ahead of incoming news (is “fast”), versus when he cannot (is “slow”). We find that speed …

We analyze the contribution to price discovery of market and limit orders by high‐frequency
traders (HFTs) and non‐HFTs. While market orders have a larger individual price impact …

We study performance and competition among firms engaging in high-frequency trading
(HFT). We construct measures of latency and find that differences in relative latency account …

We exploit an optional colocation upgrade at NASDAQ OMX Stockholm to assess how
speed affects market liquidity. Liquidity improves for the overall market and even for …