High frequency traders and the price process
高频交易者与价格过程
Using a dataset that uniquely identifies counterparties to each S&P500 eMini transaction, we classify each market participant as high or low frequency, and each transaction, by the speed of the traders involved. We investigate empirically the comparative influence of high and low frequency traders on the price process, and conversely the influence of the price process on the trading of high and low frequency traders. We find that high frequency traders have a particularly…