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We examine the relation between high frequency quotation and the behavior of stock prices between 2009 and 2011 for the full cross section of securities in the US. On average,

We examine the relation between high frequency quotation and the behavior of stock prices between 2009 and 2011 for the full cross section of securities in the US. On average, higher quotation activity is associated with price series that more closely resemble a random walk, and significantly lower cost of trading. We also explore market resiliency during periods of exceptionally high low-latency trading: large liquidity drawdowns in which, within the same millisecond, trading algorithms systematically sweep large volume across multiple trading venues.

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Date Created
  • 2015-05-01
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  • Text
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    Identifier
    • Digital object identifier: 10.1016/j.jfineco.2015.02.008
    • Identifier Type
      International standard serial number
      Identifier Value
      0304-405X
    • Identifier Type
      International standard serial number
      Identifier Value
      1879-2774
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    This is a suggested citation. Consult the appropriate style guide for specific citation guidelines.

    Conrad, Jennifer, Wahal, Sunil, & Xiang, Jin (2015). High-frequency quoting, trading, and the efficiency of prices. JOURNAL OF FINANCIAL ECONOMICS, 116(2), 271-291. http://dx.doi.org/10.1016/j.jfineco.2015.02.008

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