|
|
|
|
||||
|
||||
A Dysfunctional Role of High Frequency Trading in Electronic MarketsRobert A. JarrowCornell University - Samuel Curtis Johnson Graduate School of Management Philip Protteraffiliation not provided to SSRN June 29, 2011 Johnson School Research Paper Series No. 08-2011 Abstract: This paper shows that high frequency trading may play a dysfunctional role in financial markets. Contrary to arbitrageurs who make financial markets more efficient by taking advantage of and thereby eliminating mispricings, high frequency traders can create a mispricing that they unknowingly exploit to the disadvantage of ordinary investors. This mispricing is generated by the collective and independent actions of high frequency traders, coordinated via the observation of a common signal.
Number of Pages in PDF File: 16 working papers seriesDate posted: March 9, 2011 ; Last revised: June 30, 2011Suggested Citation |
|
|||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo7 in 0.719 seconds
