Do High Frequency Trading Firms Provide Two-Sided Liquidity?
研究了高频交易公司是否像传统做市商一样持续提供双边市场，发现它们与普通公司贡献的流动性相当，但更偏向波动大的大盘股，且在极端事件中大幅减少。
High-frequency trading (HFT) firms are commonly thought of as the new market makers, although, unlike traditional dealers, they have no affirmative obligation. The authors investigate the quality of HFT-provided liquidity by focusing on whether HFT firms make, with reasonable consistency, two-sided markets. They find that HFT and non-HFT firms contribute approximately equally to liquidity creation, HFT is mostly two-sided, and non-HFT is more one-sided. For the authors’ sample, the two-sided liquidity provision of HFT firms was directed mainly at volatile, large-cap stocks, and it declined sharply during extreme events (i.e., mini flash crashes). Thus, HFT firms appear to be quite selective as market makers. <b>TOPICS:</b>Style investing, volatility measures, VAR and use of alternative risk measures of trading risk