High-Frequency Trading and Price Discovery

摘要: We examine the role of high-frequency traders (HFTs) in price discovery and efficiency. Overall HFTs facilitate efficiency by trading direction permanent changes opposite transitory pricing errors, both on average highest volatility days. This is done through their liquidity demanding orders. In contrast, HFTs' supplying orders are adversely selected. The predicts over short horizons measured seconds. correlated with public information, such as macro news announcements, market-wide movements, limit order book imbalances.