High-Frequency Trading: Review of the Literature and Regulatory Initiatives Around the World

Asia-Pacific Journal of Financial Studies, Forthcoming

40 Pages Posted: 2 Dec 2015

See all articles by Kee H. Chung

Kee H. Chung

State University of New York at Buffalo - School of Management

Albert J. Lee

SUNY at Buffalo - School of Management

Date Written: December 1, 2015

Abstract

This paper provides a review of the literature on high-frequency trading and discusses various initiatives taken by regulatory authorities around the world to address its potential detrimental effects on market quality and investor welfare. Empirical evidence to date generally suggests that high-frequency trading has improved market quality during normal times. What is not clear is the role of high-frequency traders during episodic periods of market crash and extreme volatility. A fruitful area of future research may be a comparative analysis of the role of high-frequency traders and the efficacy of various regulatory initiatives across periods of varying market conditions.

Keywords: High-frequency traders, Market quality, Market volatility, Market regulation, Algorithmic trading

JEL Classification: G14, G18, G23

Suggested Citation

Chung, Kee H. and Lee, Albert, High-Frequency Trading: Review of the Literature and Regulatory Initiatives Around the World (December 1, 2015). Asia-Pacific Journal of Financial Studies, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2697604

Kee H. Chung (Contact Author)

State University of New York at Buffalo - School of Management ( email )

Buffalo, NY 14260
United States
716-645-3262 (Phone)
716-645-3823 (Fax)

HOME PAGE: http://mgt.buffalo.edu/faculty/academic-departments/finance/faculty/kee-chung.html

Albert Lee

SUNY at Buffalo - School of Management ( email )

Jacobs Management Center
Buffalo, NY 14222
United States

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