High frequency trading, price discovery and market efficiency in the FTSE100

Leone Vitor; Kwabi Frank

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High frequency trading, price discovery and market efficiency in the FTSE100

机译：FTSE100中的高频交易，价格发现和市场效率

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This study examines the role of high frequency trading in price discovery and efficiency in the FTSE100 index tick changes. We find that there is no random walk when investors extract information at a millisecond to a second. (C) 2019 Elsevier B.V. All rights reserved.

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《Economics letters》 |2019年第8期|174-177|共4页
作者
Leone Vitor; Kwabi Frank;
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作者单位

De Montfort Univ, Leicester Castle Business Sch, Dept Accounting & Finance, Leicester LE1 9BH, Leics, England;

De Montfort Univ, Leicester Castle Business Sch, Dept Accounting & Finance, Leicester LE1 9BH, Leics, England;

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原文格式 PDF
正文语种 eng
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关键词
High frequency trading; Price discovery; Market efficiency;

机译：高频交易;价格发现;市场效率;

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1. High frequency trading, price discovery and market efficiency in the FTSE100 [J] . Leone Vitor, Kwabi Frank Economics letters . 2019,第Auga期

机译：高频交易，价格发现和市场效率在FTSE100
2. The implications of high-frequency trading on market efficiency and price discovery [J] . Viktor Manahov, Robert Hudson Applied economics letters . 2014,第16a18期

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3. Institutional high frequency trading and price discovery: Evidence from an emerging commodity futures market [J] . Zhao Yue, Wan Difang Journal of futures markets . 2018,第2期

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High frequency trading, price discovery and market efficiency in the FTSE100

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