Real-Time Detection of Volatility in Liquidity Provision
Previous research has found that high-frequency traders will vary the bid or offer price rapidly overperiods of milliseconds. This is a benefit to fast traders who can time thier trades with microsecondprecision, however it is a cost to the average market participant due to increased trade execution...
Main Author: | |
---|---|
Format: | Article |
Language: | English |
Published: |
Tuwhera Open Access Publisher
2020-12-01
|
Series: | Applied Finance Letters |
Online Access: | https://ojs.aut.ac.nz/applied-finance-letters/article/view/268 |