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- W2605963541 abstract "Some academic research has identified the possibility of High-Frequency Trading (HFT) creating a two tier market, in which the fast traders mostly deal with each other at most favourable prices and spread, leaving the slower investors to share the least profitable deals. Yet, although intriguing, this view has been seldom quantitatively investigated − and that is the gap found in previous research. A computer simulation has been produced to mimic the behaviour of both slow and fast traders, each category showing characteristics consistent with their behaviour on the markets. In particular, High-Frequency (HF) traders show their preference for aggressive orders when the bid-ask spread is tight and are less aggressive when spread is wide. The Low-Frequency (LF) traders are then forced to live with the remaining deals, hoping to profit from longer term price movements. The purpose of this piece of research is to verify whether HF traders (HFTs) tend to deal with each other and, something not investigated by previous studies, if LF traders also mainly restrict their trading with other slow traders. The results show some tendency toward markets actually splitting into two-tiers: they confirm previous findings of HF traders' tendency to deal with their similar counterparts in case of thin bid-ask spread (which means higher probability of profits for the aggressive side), leaving mostly LF traders to deal amongst themselves when the spread is wider, so aiming at long-term gain (which makes trading inherently riskier)." @default.
- W2605963541 created "2017-04-28" @default.
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- W2605963541 date "2017-10-01" @default.
- W2605963541 modified "2023-10-17" @default.
- W2605963541 title "Is high-frequency trading tiering the financial markets?" @default.
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- W2605963541 doi "https://doi.org/10.1016/j.ribaf.2017.04.031" @default.
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