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The optimal bid-ask price strategies of high-frequency trading and the effect on market liquidity

  • Published:2020-10 Issue: Volume:53 Page:101194
  • ISSN:0275-5319
  • Container-title:Research in International Business and Finance
  • language:en
  • Short-container-title:Research in International Business and Finance

Author:

Yang Haijun,Ge Hengshun,Luo Ying

Funder

National Natural Science Foundation of China

Fundamental Research Funds for the Central Universities

Publisher

Elsevier BV

Subject

Finance,Business, Management and Accounting (miscellaneous)

Reference31 articles.

1. High Frequency Traders: Taking Advantage of Speed (No. w19531);Aït-Sahalia,2013

2. The Trading Profits of High Frequency Traders;Baron,2012

3. Information precision, transaction costs, and trading volume;Barron;J. Bank. Financ.,2004

4. Equilibrium high frequency trading;Biais;In Proceedings from the Fifth Annual Paul Woolley Centre Conference, London School of Economics,2011

5. Optimal bid-ask price strategies;Blyth;Omega,1982

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