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The Need for Speed: Does High-Frequency Trading Make or Break Equity Markets?

Ramu Thiagarajan, Richard F. Lacaille, Hanbin Im and Jingyan Wang
The Journal of Index Investing Fall 2019, 10 (2) 6-23; DOI: https://doi.org/10.3905/jii.2019.10.2.006
Ramu Thiagarajan
is the global head of fixed income, cash, and currency research and chairman of the Investment Technical Committee at State Street Global Advisors in Stamford, CT
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Richard F. Lacaille
is the global chief investment officer at State Street Global Advisors in London, UK
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Hanbin Im
is a quantitative research analyst for fixed income, cash, and currency research at State Street Global Advisors in Boston, MA
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Jingyan Wang
is a senior quantitative researcher for fixed income, cash, and currency research at State Street Global Advisors in Stamford, CT
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Abstract

Advances in technology and introduction of new regulations have transformed the equity market over last few decades, giving rise to a new breed of trading—high-frequency trading (HFT). This article investigates transformations that have shaped today’s equity trading ecology in detail with a particular focus on HFT. HFT accounts for an increasingly significant share of equity trading volumes, and is associated with lower transaction costs, greater liquidity, improved price discovery, and overall market efficiency. At times of increasing order toxicity, however, HFTs may withdraw liquidity due to higher probability of adverse selection. In this new era of equity trading, further research on a complete ecosystem of liquidity provision that ensures full provision of liquidity even during stressed periods is much needed.

TOPICS: Fundamental equity analysis, accounting and ratio analysis, technical analysis

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The Journal of Index Investing: 10 (2)
The Journal of Index Investing
Vol. 10, Issue 2
Fall 2019
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The Need for Speed: Does High-Frequency Trading Make or Break Equity Markets?
Ramu Thiagarajan, Richard F. Lacaille, Hanbin Im, Jingyan Wang
The Journal of Index Investing Aug 2019, 10 (2) 6-23; DOI: 10.3905/jii.2019.10.2.006

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The Need for Speed: Does High-Frequency Trading Make or Break Equity Markets?
Ramu Thiagarajan, Richard F. Lacaille, Hanbin Im, Jingyan Wang
The Journal of Index Investing Aug 2019, 10 (2) 6-23; DOI: 10.3905/jii.2019.10.2.006
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  • Article
    • Abstract
    • A TAXONOMY FOR ASSET MANAGEMENT STRATEGIES
    • DECLINING LATENCY IN EQUITY MARKETS AND ITS CONTRIBUTION TO GROWTH OF ALGORITHMIC STRATEGIES
    • HOW TO MEASURE THE BENEFITS OF SPEED IN TRANSACTION COSTS—AN OPTION FRAMEWORK
    • THE IMPACT OF HFT ON MARKET METRICS
    • CONCLUSION: WHAT ARE THE IMPLICATIONS OF THIS NEW REALITY?
    • ACKNOWLEDGMENTS
    • ADDITIONAL READING
    • ENDNOTES
    • REFERENCES
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