FCA paper investigates whether HFTs predict orders
Working paper finds patterns consistent with HFTs anticipating order flows
Patterns showing high-frequency traders (HFTs) are anticipating order flows are only evident over longer time periods, according to a paper published by the Financial Conduct Authority.
In Are high-frequency traders anticipating the order flow? Cross-venue evidence from the UK market, Matteo Aquilina and Carla Ysusi investigate the allegation high-frequency traders can "predict" when orders are going to arrive at different trading venues and trade in advance of slower trades.
Using order-book
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