The Competitive Landscape of High-Frequency Trading Firms

• 成果类型: Article
• 署名作者: Boehmer, Ekkehart; Li, Dan; Saar, Gideon
• 署名单位: Singapore Management University; University of Hong Kong
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx144
• 发表日期: 2018
• 页码: 2227
• 关键词: market

摘要

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 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 affects the market environment and present evidence that indicates how it influences the short-horizon volatility of stocks as well as the viability of trading venues.