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- W3005655817 abstract "This article examines the co-location of high-frequency trading (HFT) facilities and capacity of the Australian futures market to absorb information following major scheduled macroeconomic announcements. The findings show that the co-location of HFT facilities has increased trading activities and liquidity across the four futures contracts investigated. The four futures contracts also demonstrate a market capacity to absorb information from major announcements efficiently. For instance, the majority of price adjustments are impounded within 30 seconds following major announcements. The authors conclude that abnormal trading profits are unlikely to be generated by HFT in the Australian futures market. TOPICS:Futures and forward contracts, derivatives Key Findings • The co-location of HFT facilities has increased trading activities and liquidity across the four futures contracts investigated in the Australian futures market. • These futures contracts also demonstrate a market capacity to absorb information from major announcements efficiently. • Abnormal trading profits are unlikely to be generated by HFT in the Australian futures market." @default.
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- W3005655817 date "2020-02-14" @default.
- W3005655817 modified "2023-09-24" @default.
- W3005655817 title "The Impact of High-Frequency Trading on Australian Futures Market Liquidity and Efficiency" @default.
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- W3005655817 doi "https://doi.org/10.3905/jod.2020.1.097" @default.
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