Curbing high-frequency trading: where’s the empirical evidence?

1/22/2012 5:41:00 PM

Gideon Saar of Johnson at Cornell University and Joel Hasbrouck of New York University, after studying NASDAQ’s trading data in 2007-08, came to the conclusion that low-latency trading improves traditional market quality measures such as short-term volatility, spreads and displayed depth in the limit order book.


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