High frequency market microstructure

• 成果类型: Article
• 署名作者: O'Hara, Maureen
• 署名单位: Cornell University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.01.003
• 发表日期: 2015
• 页码: 257-270
• 关键词: High frequency trading; Market microstructure; Algorithmic trading

摘要

Markets are different now, transformed by technology and high frequency trading. In this paper, I investigate the implications of these changes for high frequency market microstructure (HFT). I describe the new high frequency world, with a particular focus on how HFT affects the strategies of traders and markets. I discuss some of the gaps that arise when thinking about microstructure research issues in the high frequency world. I suggest that, like everything else in the markets, research must also change to reflect the new realities of the high frequency world. I propose some topics for this new research agenda in high frequency market microstructure. (C) 2015 Elsevier B.V. All rights reserved.