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High-Frequency Quoting, Trading, and the Efficiency of Prices
2015
CFA Digest
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 U.S. 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
doi:10.2469/dig.v45.n10.14
fatcat:2egcb7ntgrg5jhwk4rl5g446mi