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【论文】李堃, Rick Cooper and Ben Van Vliet:“How Does High-Frequency Trading Affect Low-Frequency Trading?”
发布日期: 2017-11-21  浏览次数:

李堃, Rick Cooper and Ben Van VlietHow Does High-Frequency Trading Affect Low-Frequency Trading? Journal of Behavioral FinancePublished online: 07 Nov 2017. (DOI:10.1080/15427560.2017.1376669)

Abstract:

High-frequency trading dominates trading in financial markets. How it affects the low-frequency trading, however, is still unclear. Using NASDAQ order book data, the authors investigate this question by categorizing orders as either high or low frequency, and examining several measures. They find that high-frequency trading enhances liquidity by increasing the trade frequency and quantity of low-frequency orders. High-frequency trading also reduces the waiting time of low-frequency limit orders and improves their likelihood of execution. The results indicate that high-frequency trading has a liquidity provision effect and improves the execution quality of low-frequency orders.

Journal of Behavioral Finance是英文SSCI期刊索引中的A级学术期刊(参见The Australian Business School Deans list),是行为经济学与金融学领域顶级学术期刊。创刊人和主编为2002年诺贝尔经济学奖获得者Vernon Smith教授。本论文成果的工作论文版本曾在一系列国际顶级学术会议上受邀进行报告(包括美国东部金融协会年会、美国高频金融与量化分析年会、美国伊利诺伊经济学协会年会、公司金融与资本市场国际研讨会、全球量化金融峰会,Wolfram科技创新年会等。)201612月,该论文被全球最大的开源论文数据库SSRN选入精品论文系列(SSRN ejournal),并在两个栏目里予以收录(Capital Markets: Market MicrostructureMicroeconomics: General Equilibrium & Disequilibrium Models of Financial Markets)。20171-2月,根据SSRN数据库统计,本论文同时在两个栏目里共计9000篇收录论文中,检索和下载次数进入世界前十位(SSRN Top Ten List),并收到了SSRN数据库的官方证明。

 


 

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