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How Does High-Frequency Trading Affect Low-Frequency Trading?
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Wolfram Technology Conference 2014
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Champaign, Illinois, USA
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We examine how high-frequency trading affects low-frequency trading. We find that high-frequency trading enhances the liquidity by increasing the trade frequency and quantity of low-frequency orders. High-frequency trading also improves order execution quality of low-frequency limit orders by reducing the waiting time and improving the likelihoods of execution of low-frequency limit orders. Our results also suggest that high-frequency trading operates as an intermediary to low-frequency orders and such intermediary effect facilitates low-frequency orders' liquidity and order execution quality. Compared with traditional market makers, high-frequency trading has larger impacts on low-frequency limit orders' liquidity and order execution quality, implying that high-frequency trading has become the dominant liquidity providers to low-frequency trading.
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http://www.wolfram.com/events/technology-conference/2014
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| Wolfram Technology Conference_KunLi.pdf (737.2 KB) - PDF Document | | Wolfram Technology Conference_KunLi.pptx (278.2 KB) - Unknown MIME type |
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