High-Frequency Trading

Gomber, Peter; Arndt, Björn; Lutat, Marco; Uhle, Tim

doi:10.2139/ssrn.1858626

Cited by 131 publications

(52 citation statements)

References 41 publications

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“…For example, LSE offered a lower clearing and settlement fee (and in some circumstances a rebate) to market participants who provided liquidity relative to those participants who demanded liquidity. As expected, Gomber et al (2011) and Harris and DiMarco (2012) demonstrate that the more dispersed, yet evidently more harmonised marketplace implanted by MiFID1, did achieve lower transaction fees as well as lower spreads.…”

Section: Contribution Of Our Market Fairness Researchsupporting

confidence: 63%

Market Fairness: The Poor Country Cousin of Market Efficiency

et al. 2015

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Both fairness and efficiency are important considerations in market design and regulation, yet many regulators have neither defined nor measured these concepts. We develop an evidencebased policy framework in which these are both defined and measured using a series of empirical proxies. We then build a systems estimation model to examine the 2003-2011 explosive growth in algorithmic trading (AT) on the London Stock Exchange and NYSE Euronext Paris. Our results show that greater AT is associated with increased transactional efficiency and reduced information leakage in top quintile stocks. For less liquid stocks, manipulation at the close declines. We also document the tradeoff between reduced spreads and increased manipulation or information leakage following the introduction of MiFID1.

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Section: Contribution Of Our Market Fairness Researchsupporting

confidence: 63%

Market Fairness: The Poor Country Cousin of Market Efficiency

et al. 2015

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“…This is erroneous. The most significant activity of HFTRs is market making (Brogaard, 2010;Hagstr€ omerm and Norden, 2013;Menkveld, 2013;IIROC, 2011;Gomber et al, 2011). Market making is an important liquidity function in any securities market, since not all buyers or sellers are present in the market at any given time.…”

Section: Is Hft Speed Purely Value Destructive?mentioning

confidence: 99%

Revisioning Revisionism

MacIntosh

2015

The Handbook of High Frequency Trading

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“…Brokers manage risk according to regulatory requirements [1]. Providing the most direct and low-latency connection possible to an exchange inherently makes a broker more attractive to a client.…”

Section: B Broker/dealermentioning

confidence: 99%

A Low-Latency Library in FPGA Hardware for High-Frequency Trading (HFT)

Lockwood¹,

Gupte²,

Mehta³

et al. 2012

2012 IEEE 20th Annual Symposium on High-Performance Interconnects

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Current High-Frequency Trading (HFT) platforms are typically implemented in software on computers with highperformance network adapters. The high and unpredictable latency of these systems has led the trading world to explore alternative "hybrid" architectures with hardware acceleration. In this paper, we survey existing solutions and describe how FPGAs are being used in electronic trading to approach the goal of zero latency. We present an FPGA IP library which implements networking, I/O, memory interfaces and financial protocol parsers. The library provides pre-built infrastructure which accelerates the development and verification of new financial applications. We have developed an example financial application using the IP library on a custom 1U FPGA appliance. The application sustains 10Gb/s Ethernet line rate with a fixed end-toend latency of 1µs -up to two orders of magnitude lower than comparable software implementations.

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High-Frequency Trading

Cited by 131 publications

References 41 publications

Market Fairness: The Poor Country Cousin of Market Efficiency

Market Fairness: The Poor Country Cousin of Market Efficiency

Revisioning Revisionism

A Low-Latency Library in FPGA Hardware for High-Frequency Trading (HFT)

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