The Economics of High-Frequency Trading: Taking Stock

Posted: 18 Nov 2016

See all articles by Albert J. Menkveld

Albert J. Menkveld

VU Amsterdam; Tinbergen Institute - Tinbergen Institute Amsterdam (TIA)

Multiple version iconThere are 2 versions of this paper

Date Written: October 2016

Abstract

I review the recent high-frequency trader (HFT) literature to single out the economic channels by which HFTs affect market quality. I first group the various theoretical studies according to common denominators and discuss the economic costs and benefits they identify. For each group, I then review the empirical literature that speaks to either the models’ assumptions or their predictions. This enables me to come to a data-weighted judgement on the economic value of HFTs.

Suggested Citation

Menkveld, Albert J., The Economics of High-Frequency Trading: Taking Stock (October 2016). Annual Review of Financial Economics, Vol. 8, pp. 1-24, 2016. Available at SSRN: https://ssrn.com/abstract=2870870 or http://dx.doi.org/10.1146/annurev-financial-121415-033010

Albert J. Menkveld (Contact Author)

VU Amsterdam ( email )

De Boelelaan 1105
Amsterdam, 1081HV
Netherlands
+31 20 5986130 (Phone)
+31 20 5986020 (Fax)

Tinbergen Institute - Tinbergen Institute Amsterdam (TIA) ( email )

Gustav Mahlerplein 117
Amsterdam, 1082 MS
Netherlands

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