High-frequency trading and institutional trading costs / by Marie Chen and Corey Garriott.: FB3-5/2018-8E-PDF
“Using bond futures data, we test whether high-frequency trading (HFT) is engaging in back running, a trading strategy that can create costs for financial institutions. We reject the hypothesis of back running and find instead that HFT mildly improves trading costs for institutions. After a rapid increase in the number of HFTs, trading costs as measured by implementation shortfall decrease by 27 basis points for smaller-sized positions ($2–$10 million notional). For larger-sized positions there is no significant effect. We explain the improvement as being the consequence of HFT reducing effective spreads and per-trade price impacts"--Abstract, p. ii.
Permanent link to this Catalogue record:
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| Department/Agency | Bank of Canada. |
|---|---|
| Title | High-frequency trading and institutional trading costs / by Marie Chen and Corey Garriott. |
| Series title | Bank of Canada staff working paper, 1701-9397 ; 2018-8 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "February 2018." Includes bibliographical references (p. 26-27). Includes abstract in French. |
| Publishing information | [Ottawa] : Bank of Canada, 2018. |
| Author / Contributor | Chen, Marie. Garriott, Corey. |
| Description | ii, 44 p. : charts (some col.) |
| Catalogue number |
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| Subject terms | Stock markets Financial institutions Electronic trading of securities |