This paper examines the effects of multimarket high-frequency trading (HFT) activity on liquidity co-movements across different markets. Multimarket trading by HFTs connects individual markets in a single network, which should induce stronger network-wide liquidity co-movements. We use the...

This Article analyzes approaches to attaching liability for securities fraud to high-frequency traders as primary violators in connection with the current market structure crisis. One of the manifestations of this crisis pertains to inadequate disclosure of advanced functionalities offered by...

Aim. High Frequency Trading poses a large number of ethical questions. The purpose of this study is to examine the ethical perceptions of those who work inside the HFT industry.Method. The research consisted of a case study. Participants (N=30) were high frequency traders, algorithm developers,...

This paper shows that intensity of high-frequency trading (HFT) in stocks held by mutual funds is negatively related to fund performance. This negative relation can largely be explained by the illiquidity premium: HFT-intensive stocks provide lower returns because the majority of these stocks...

We document a transaction level invariance relation among concurrent activity variables in the S&P 500 futures market: return volatility per transaction is proportional to the inverse of the squared expected trade size. It captures the time series behavior extremely well. Even more strikingly,...

Liquidity suppliers lean against the wind. We analyze whether high-frequency traders (HFTs) lean against large institutional orders that execute through a series of child orders. The alternative is HFTs trading "with the wind," that is, in the same direction. We find that HFTs initially lean...

We investigate how and why relative tick sizes influence traders' order strategies, and how this affects liquidity provision in the market. Using unique NYSE data, we find that a larger relative tick size benefits HFT market makers: they leave orders in the book longer, trade more aggressively,...