High frequency market microstructure

O'Hara, M

High frequency market microstructure

O'Hara, M

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Publication Type:: Journal Article
Citation:: Journal of Financial Economics, 2015, 116 (2), pp. 257 - 270
Issue Date:: 2015-01-01

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Field	Value	Language
dc.contributor.author	O'Hara, M	en_US
dc.date.issued	2015-01-01	en_US
dc.identifier.citation	Journal of Financial Economics, 2015, 116 (2), pp. 257 - 270	en_US
dc.identifier.issn	0304-405X	en_US
dc.identifier.uri	http://hdl.handle.net/10453/121972
dc.description.abstract	© 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.	en_US
dc.relation.ispartof	Journal of Financial Economics	en_US
dc.relation.isbasedon	10.1016/j.jfineco.2015.01.003	en_US
dc.subject.classification	Finance	en_US
dc.title	High frequency market microstructure	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.citation.volume	116	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	1606 Political Science	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.issue	2	en_US
pubs.publication-status	Published	en_US
pubs.volume	116	en_US

Abstract:

© 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.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/121972