Journal of Financial Economics Vol. 116 No. 2 2015
High frequency market microstructure
Abstract
Markets are different now, transformed by technology and high frequency trading. In this paper, I investigate the implications of these changes for high frequency market microstructure (HFT). I describe the new high frequency world, with a particular focus on how HFT affects the strategies of traders and markets. I discuss some of the gaps that arise when thinking about microstructure research issues in the high frequency world. I suggest that, like everything else in the markets, research must also change to reflect the new realities of the high frequency world. I propose some topics for this new research agenda in high frequency market microstructure.
- DOI
- 10.1016/j.jfineco.2015.01.003
- Volume
- 116
- Issue
- 2
- Pages
- 257-270
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref