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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