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White noise

White noise

Source: Bank of England

The Bank of England examines evidence from the UK equity market of high-frequency trading behaviour and its impact on market quality

Authors Evangelos Benos and Satchit Sagade analyse the intraday behaviour of high-frequency traders (HFTs) and their impact on aspects of market quality such as liquidity, price discovery and excess volatility.

The study finds that while HFTs have a higher information-to-noise contribution ratio than non-HFTs, there are instances where this is accompanied by a large absolute noise contribution.

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Comments: (1)

Neil Crammond
Neil Crammond - DIVENTO FINANCIALS - London 20 December, 2012, 10:31Be the first to give this comment the thumbs up 0 likes

the bank of england would be better off examining the total lack of market supervision by its exchange regulators .

We are finally admitting the abuse that has torn our markets confidence and until we have regulators who are independent our mkts will suffer .

Since 2003 we have watched  washed trades ; crossing ; flipping , and despite constant complaints we have been informed of improved liquidity and volume when infact our markets are at their lowest ebb in decades . Perhaps the bank of england are not the right house to intervene ?

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