Brogaard, Jonathan - 2016
disentangle the separate impacts of short selling by HFTs and non-HFTs we use an instrumental variables approach exploiting … differences in the ban's cross-sectional impact on HFTs and non-HFTs. Non-HFTs' short selling improves liquidity, as measured by … bid-ask spreads. HFTs' short selling has the opposite effect by adversely selecting limit orders. HFTs' overall activity …