BoE paper considers implications of HFT
A working paper, published by the Bank of England (BoE) today (December 3), studies the impact of high-frequency trading (HFT) on market quality.
The authors, Evangelos Benos and Satchit Sagade, use data from UK equity markets containing four FTSE 100 stocks over the course of one week's trading. They find disparities in the trading speeds, price discovery and impact on short-term, excess volatility of different HFTs, and separate the trades into two groups: passive and aggressive. The key
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