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Persistent link: https://www.econbiz.de/10011961003
How does latency affect the dynamics of asset prices in modern markets? In this paper, we present a simple model of latency. In our model, latency is a delay between the observed asset price and its true, but latent fundamental price. Because of latency, the observed asset price shadows the true...
Persistent link: https://www.econbiz.de/10013020751
Do high frequency traders affect transaction prices? In this paper we derive distributions of transaction prices in limit order markets populated by low frequency traders (humans) before and after the entrance of a high frequency trader (machine). We find that the presence of a machine is likely...
Persistent link: https://www.econbiz.de/10012906114
Do high frequency traders affect transaction prices? In this paper we derive distributions of transaction prices in limit order markets populated by low frequency traders (humans) before and after the entrance of a high frequency trader (machine). We find that the presence of a machine is likely...
Persistent link: https://www.econbiz.de/10013146959
We propose and study a stylization of high frequency trading (HFT). Our interest is an order book which consists of orders from slow liquidity traders and orders from high-frequency traders.We would like to frame a model which is amenable to the (seemingly natural) mathematical toolkit of...
Persistent link: https://www.econbiz.de/10013066207