How does HFT activity impact market volatility and the bid-ask spread after an exogenous shock? An empirical analysis on S&P 500 ETF-Reference-Cited by-同舟云学术

How does HFT activity impact market volatility and the bid-ask spread after an exogenous shock? An empirical analysis on S&P 500 ETF

Published:2020-11 Issue: Volume:54 Page:101240
ISSN:1062-9408
Container-title:The North American Journal of Economics and Finance
language:en
Short-container-title:The North American Journal of Economics and Finance

Author:

Bazzana Flavio,Collini Andrea

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference28 articles.

1. High frequency trading and end-of-day price dislocation;Aitken;Journal of Banking & Finance,2015

2. High-frequency trading: A practical guide to algorithmic strategies and trading systems;Aldridge,2013

3. Price formation, market quality and the effects of reduced latency in the very short run;Bank;Research in International Business and Finance,2016

4. Equilibrium high frequency trading;Biais,2011

5. Brogaard, J. (2010). High frequency trading and its impact on market quality. In Northwestern University Kellogg School of Management (Ph.D. thesis).

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