The competitive landscape of high-frequency trading firms

• Main Authors: BOEHMER, Ekkehart, LI, Dan, SAAR, Gideon
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2018
• Subjects: high frequency trading; algorithmic trading; market making; trading strategies; Corporate Finance; Finance and Financial Management; Portfolio and Security Analysis
• 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
• Institution: Singapore Management University

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...