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...

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Bibliographic Details
Main Author: Matt Brigida
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