Benos, Evangelos; Sagade, Satchit - Bank of England - 2012
liquidity, price discovery and excess volatility. For that, we use a unique transactions data set for four UK stocks, over the … trading behaviour of individual HFTs. We first find that HFTs differ significantly from each other in terms of liquidity … provision: while some HFTs mostly consume liquidity (ie trade more ‘aggressively’) by primarily executing trades via market …