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High frequency market microstructure

Hara, Maureen O'

Journal of financial economics, 2015-05, Vol.116 (2), p.257-270 [Periódico revisado por pares]

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Título:
High frequency market microstructure
Autor: Hara, Maureen O'
Assuntos: Algorithmic trading ; Economic theory ; Framing ; Frequency ; High frequency trading ; Market ; Market microstructure ; Market structure ; Studies ; Technological change ; Technology ; Traders
É parte de: Journal of financial economics, 2015-05, Vol.116 (2), p.257-270
Notas: ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
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Descrição: Markets are different now, transformed by technology and high frequency trading. In this paper, I investigate the implications of these changes for high frequency market microstructure (HFT). I describe the new high frequency world, with a particular focus on how HFT affects the strategies of traders and markets. I discuss some of the gaps that arise when thinking about microstructure research issues in the high frequency world. I suggest that, like everything else in the markets, research must also change to reflect the new realities of the high frequency world. I propose some topics for this new research agenda in high frequency market microstructure.
Editor: Amsterdam: Elsevier B.V
Idioma: Inglês

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