The competitive landscape of high-frequency trading firms

We examine product differentiation in the high-frequency trading (HFT) industry, where the “products” are secretive proprietary trading strategies. We demonstrate how principal component analysis can be used to detect underlying strategies that are common to multiple HFT firms, and show that there a...

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Main Authors: BOEHMER, Ekkehart, LI, Dan, SAAR, Gideon
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2018
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Online Access:https://ink.library.smu.edu.sg/lkcsb_research/5328
https://ink.library.smu.edu.sg/context/lkcsb_research/article/6327/viewcontent/High_frequency_trading_pp.pdf
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Institution: Singapore Management University
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spelling sg-smu-ink.lkcsb_research-63272018-06-08T01:23:48Z The competitive landscape of high-frequency trading firms BOEHMER, Ekkehart LI, Dan SAAR, Gideon We examine product differentiation in the high-frequency trading (HFT) industry, where the “products” are secretive proprietary trading strategies. We demonstrate how principal component analysis can be used to detect underlying strategies that are common to multiple HFT firms, and show that there are three product categories with distinct attributes. We study how HFT competition in each product category impacts the market environment, presenting evidence that indicates how it influences the short-horizon volatility of stocks as well as the viability of trading venues. 2018-06-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/lkcsb_research/5328 info:doi/10.1093/rfs/hhx144 https://ink.library.smu.edu.sg/context/lkcsb_research/article/6327/viewcontent/High_frequency_trading_pp.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University high frequency trading algorithmic trading market making trading strategies Corporate Finance Finance and Financial Management Portfolio and Security Analysis
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic high frequency trading
algorithmic trading
market making
trading strategies
Corporate Finance
Finance and Financial Management
Portfolio and Security Analysis
spellingShingle high frequency trading
algorithmic trading
market making
trading strategies
Corporate Finance
Finance and Financial Management
Portfolio and Security Analysis
BOEHMER, Ekkehart
LI, Dan
SAAR, Gideon
The competitive landscape of high-frequency trading firms
description We examine product differentiation in the high-frequency trading (HFT) industry, where the “products” are secretive proprietary trading strategies. We demonstrate how principal component analysis can be used to detect underlying strategies that are common to multiple HFT firms, and show that there are three product categories with distinct attributes. We study how HFT competition in each product category impacts the market environment, presenting evidence that indicates how it influences the short-horizon volatility of stocks as well as the viability of trading venues.
format text
author BOEHMER, Ekkehart
LI, Dan
SAAR, Gideon
author_facet BOEHMER, Ekkehart
LI, Dan
SAAR, Gideon
author_sort BOEHMER, Ekkehart
title The competitive landscape of high-frequency trading firms
title_short The competitive landscape of high-frequency trading firms
title_full The competitive landscape of high-frequency trading firms
title_fullStr The competitive landscape of high-frequency trading firms
title_full_unstemmed The competitive landscape of high-frequency trading firms
title_sort competitive landscape of high-frequency trading firms
publisher Institutional Knowledge at Singapore Management University
publishDate 2018
url https://ink.library.smu.edu.sg/lkcsb_research/5328
https://ink.library.smu.edu.sg/context/lkcsb_research/article/6327/viewcontent/High_frequency_trading_pp.pdf
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