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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| Materyal Türü: | Makale |
| Dil: | English |
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Tuwhera Open Access Publisher
2020-12-01
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| Seri Bilgileri: | Applied Finance Letters |
| Online Erişim: | https://ojs.aut.ac.nz/applied-finance-letters/article/view/268 |