Hossain, Shahadat - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31
that alternative HFT proxies built on LOB are not equally powerful. The HFT proxy defined on the five best LOB prices (the … market depth in developing HFT proxy is counterintuitive. Evidence indicates that high-frequency traders (HFTs) participate …
