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High-Frequency Trading and Market Liquidity by aryan jha is a document available to read on EtoBox.
What is High-Frequency Trading and Market Liquidity about?
The document discusses a study that analyzed the impact of high-frequency trading (HFT) on market liquidity indicators using agent-based simulations of artificial markets. The study compared markets where an HFT participated to markets without HFT participation. It found that all major liquidity indicators (volume, tightness, resiliency, and depth) improved more in markets with an HFT. Additionally, execution rate was identified as a potential new liquidity indicator based on correlations with established i
- Author
- aryan jha
- Language
- EN