Jakša Cvitanic, Andrei Kirilenko: Do high frequency traders affect transaction prices? In this paper we derive the distribution of transaction prices in limit order markets populated by low frequency traders before and after the entrance of a high frequency trader (HFT).
EDHEC Business School
Commodity Futures Trading Commission
|Type :||Working paper|
|Date :||le 03/10/2011|
|Extra information :||For more information, please contact EDHEC Research and Development Department [ firstname.lastname@example.org ]|
|Research Cluster :||Finance|