BoE paper considers implications of HFT

bank-of-england-head-on

A working paper, published by the Bank of England (BoE) today (December 3), studies the impact of high-frequency trading (HFT) on market quality.

The authors, Evangelos Benos and Satchit Sagade, use data from UK equity markets containing four FTSE 100 stocks over the course of one week's trading. They find disparities in the trading speeds, price discovery and impact on short-term, excess volatility of different HFTs, and separate the trades into two groups: passive and aggressive. The key

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.centralbanking.com/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Central Banking account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: