High Frequency Trading Review

    BOOKMARK AND SHARE

    Abstract:
    In light of the increased role of technology in the trading process in recent years, we survey the literature on the design of automated trading systems and the role of human intermediation. On the theoretical front, papers suggest that a pure electronic limit order book or a combination of dealer market elements and pure electronic limit order market elements dominates a pure dealer market. On the empirical front, papers suggest that there is not one type of market structure that is dominant in all circumstances. Generally, the evidence from equity, fixed income, and derivative markets suggests that fully automated markets could bene t from human intermediation. It should be noted that only a handful of academic papers consider recent developments like algorithm trading, high-frequency trading, and millisecond speed. The overall eff ect of the expanding role of computers in the trading process as it pertains to efficient markets, market quality, and social welfare is a matter of current debate among academicians, practitioners, and regulators, and is a question for future research.

    Cardella, Laura, Hao, Jia and Kalcheva, Ivalina, The Floor Trader vs. Automation: A Survey of Theory and Empirical Evidence (September 20, 2010). Available at SSRN: http://ssrn.com/abstract=1650345

    Visit resource

    Related content

    News:  ESMA Outlines Future Automated Trading Regime For Trading Platforms, Investment Firms And Competent Authorities
    22 December 2011 – News Articles
    ESMA today published its final report on guidelines on systems and controls in an automated trading environment for trading platforms, investment firms and competent authoriti…

    News:  FINRA Fines Barclays Capital $3 Million For Misrepresentations Related To Subprime Securitizations
    22 December 2011 – News Articles
    The Financial Industry Regulatory Authority (FINRA) announced today that it has fined Barclays Capital Inc. $3 million for misrepresenting delinquency data and inadequate supe…

    News:  Dubai Gold & Commodities Exchange Weekly Market Commentary – December 18, 2011
    18 December 2011 – News Articles
    Weekly Market Commentary Provided by Market News International December 18, 2011 Welcome to the Weekly Market Commentary from DGCX, p…

    News:  SEC Charges Executives At Clean Coal Technology Company For Misstatements To Investors
    21 December 2011 – News Articles
    The Securities and Exchange Commission today charged the former CEO and CFO at a Minnesota-based clean coal technology company for making false and misleading statements to …

    Leave A Reply