High Frequency Trading Review


    Pawan Jain
    University of Memphis

    Steven J. Jordan
    Econometric Solutions

    February 5, 2013

    HFT involves submitting large numbers of orders to generate congestion. Regulators classify such stuffing activity as a type of market manipulation. Thus, regulators are considering cut-off value for minimal quote life. However, even simple summary statistics for the time an order takes to go from being placed to being posted or how long a cancellation order takes to execute on the exchange are not available. Without such empirically facts it is difficult to understand the potential impact of HFT or how to regulate it. This paper attempts to fill this gap in the literature and provide several statistics concerning cancellation latency.

    Jain, Pawan and Jordan, Steven J., Cancellation Latency: The Good, the Bad, and the Ugly (February 5, 2013). Available at SSRN: http://ssrn.com/abstract=2212504 or http://dx.doi.org/10.2139/ssrn.2212504

    Visit resource

    Related content

    News: Revised NZX Buyback/Cancellation Share Split Memo
    13 May 2012 – News Articles
    Further to the announcements released by NZX on 20 February 2012 and 10 May 2012, regarding the compulsory buyback/cancellation and share split, NZX Market Supervision (&ldquo…;

    News: Redline Trading Extends Ultra-Low Latency Futures Trading Solution with Support for ICE
    22 May 2013 – Redline Trading Solutions
    WOBURN, Mass. – May 22, 2013 – Redline Trading Solutions today announced support for the Intercontinental Exchange (ICE) futures exchange in it…

    News: Continued HFT Arms Race is Purely a Positional Game, According to Study
    18 January 2013 – HFT Review
    A recent academic study, “The Externalities of High Frequency Trading”, published by Professor Mao Ye, Jiading Gai and Chen Yao of the University of Illinois, finds that incre…

    Leave A Reply