Ultra-fast activity and intraday market quality
This paper studies the intraday relationship between ultra-fast machine-driven activity (UFA) and market quality in automated equity markets. We find that higher UFA is associated with lower intraday market quality (greater quoted and effective spreads and lower depth). This effect is economically s...
| Main Authors: | , , , |
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| Format: | Journal article |
| Published: |
Elsevier
2018
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