The Competitive Landscape of High-Frequency Trading Firms

被引：41
|
作者：
Boehmer, Ekkehart [1 ]
Li, Dan [2 ]
Saar, Gideon
机构：
[1] Singapore Management Univ, Lee Kong Chian Sch Business, Singapore, Singapore
[2] Univ Hong Kong, Fac Business & Econ, Hong Kong, Hong Kong, Peoples R China
来源：
REVIEW OF FINANCIAL STUDIES | 2018年 / 31卷 / 06期
关键词：
MARKET;
D O I：
10.1093/rfs/hhx144
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We examine product differentiation in the high-frequency trading (HFT) industry, where the "products" are secretive proprietary trading strategies. We demonstrate how principal component analysis can be used to detect underlying strategies common to multiple HFT firms and show that there are three product categories with distinct attributes. We study how HFT competition in each product category affects the market environment and present evidence that indicates how it influences the short-horizon volatility of stocks as well as the viability of trading venues.
引用
收藏
页码：2227 / 2276
页数：50
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