Reordering Transaction Execution to Boost High-Frequency Trading Applications
Sign Up to like & getrecommendations! Published in 2017 at "Data Science and Engineering"
DOI: 10.1007/s41019-017-0054-0
Abstract: High-frequency trading (HFT) has always been welcomed because it benefits not only personal benefits but also the whole social welfare. While the recent advance of portfolio selection in HFT market enables to bring about more… read more here.
Keywords: frequency trading; execution; high frequency; transaction ... See more keywords
Does high-frequency trading reduce market underreaction to earnings news?
Sign Up to like & getrecommendations! Published in 2020 at "Finance Research Letters"
DOI: 10.1016/j.frl.2019.07.012
Abstract: Abstract This paper examines the impact of high-frequency trading (HFT) on market underreaction to earnings news as measured by the magnitude of post-earnings announcement drift (PEAD). Using a dataset provided by NASDAQ, we are able… read more here.
Keywords: high frequency; market underreaction; underreaction earnings; hft ... See more keywords
High-Frequency Trading, Liquidity Withdrawal, and the Breakdown of Conventions in Foreign Exchange Markets
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Economic Issues"
DOI: 10.1080/00213624.2018.1469883
Abstract: Abstract: Conventions, or “that the existing state of affairs will continue indefinitely, except in so far as we have specific reasons to expect a change” (Keynes 1936), play a central role in over-the-counter markets. For… read more here.
Keywords: frequency trading; liquidity; high frequency; foreign exchange ... See more keywords