Interactions among High-Frequency Traders
利用英国股票市场高频交易公司的独特交易数据，研究高频交易活动之间的相关性及其对价格效率的影响，发现高频交易订单流等具有显著共性，但这种共性与信息相关，不会导致不当价格压力。
Using unique transactions data for individual high-frequency trading (HFT) firms in the U.K. equity market, we examine the extent to which the trading activity of individual HFT firms is correlated with each other and the impact on price efficiency. We find that HFT order flow, net positions, and total volume exhibit significantly higher commonality than those of a comparison group of investment banks. However, intraday HFT order flow commonality is associated with a permanent price impact, suggesting that commonality in HFT activity is information based and so does not generally contribute to undue price pressure and price dislocations.