Very fast money: High-frequency trading on the NASDAQ |
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| Authors: | Allen Carrion |
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| Affiliation: | Lehigh University, Perella Department of Finance, 621 Taylor Street, Bethlehem, PA 18015, USA |
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| Abstract: | This paper provides evidence regarding high-frequency trader (HFT) trading performance, trading costs, and effects on market efficiency using a sample of NASDAQ trades and quotes that directly identifies HFT participation. I find that HFTs engage in successful intra-day market timing, spreads are wider when HFTs provide liquidity and tighter when HFTs take liquidity, and prices incorporate information from order flow and market-wide returns more efficiently on days when HFT participation is high. |
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| Keywords: | High-frequency trading Trading performance Intraday return predictability VWAP Trading costs Adverse selection Market efficiency |
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