High frequency market microstructure

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Journal Article
Journal of Financial Economics, 2015, 116 (2), pp. 257 - 270
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© 2015 Elsevier B.V. Markets are different now, transformed by technology and high frequency trading. In this paper, I investigate the implications of these changes for high frequency market microstructure (HFT). I describe the new high frequency world, with a particular focus on how HFT affects the strategies of traders and markets. I discuss some of the gaps that arise when thinking about microstructure research issues in the high frequency world. I suggest that, like everything else in the markets, research must also change to reflect the new realities of the high frequency world. I propose some topics for this new research agenda in high frequency market microstructure.
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