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Annual Review of Financial Economics

Volume 8, 2016

The Economics of High-Frequency Trading: Taking Stock

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.

Keyword(s): electronic markets, high-frequency trading, microstructure
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/content/journals/10.1146/annurev-financial-121415-033010
2016-10-23
2024-04-24
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/content/journals/10.1146/annurev-financial-121415-033010
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The Economics of High-Frequency Trading: Taking Stock
Annual Review of Financial Economics 8, 1 (2016); https://doi.org/10.1146/annurev-financial-121415-033010
/content/journals/10.1146/annurev-financial-121415-033010
/content/journals/10.1146/annurev-financial-121415-033010
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