Very Fast Money: High-Frequency Trading on the NASDAQ

Forthcoming, Journal of Financial Markets

86 Pages Posted: 2 Aug 2012 Last revised: 31 May 2017

See all articles by Allen Carrion

Allen Carrion

University of Utah - Department of Finance

Date Written: June 15, 2013

Abstract

This paper provides evidence regarding high-frequency trader (HFT) trading performance, trading costs, and effects on market efficiency using a sample of NASDAQ trades and quotes that directly identifies HFT participation. I find that HFTs engage in successful intra-day market timing, spreads are wider when HFTs provide liquidity and tighter when HFTs take liquidity, and prices incorporate information from order flow and market-wide returns more efficiently on days when HFT participation is high.

Keywords: high-frequency trading, trading performance, intraday return predictability, VWAP, trading costs, adverse selection, market efficiency

JEL Classification: G1, G2

Suggested Citation

Carrion, Allen, Very Fast Money: High-Frequency Trading on the NASDAQ (June 15, 2013). Forthcoming, Journal of Financial Markets. Available at SSRN: https://ssrn.com/abstract=2122716 or http://dx.doi.org/10.2139/ssrn.2122716

Allen Carrion (Contact Author)

University of Utah - Department of Finance ( email )

David Eccles School of Business
Salt Lake City, UT 84112
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
1,175
rank
15,864
Abstract Views
5,544
PlumX Metrics