High-Frequency Trading Strategies
从限价订单交易者视角研究高频交易对市场质量的影响，发现高频交易者利用订单簿信息在厚侧提供流动性、在薄侧需求流动性，这种策略在波动期和交易速度加快时更明显。
We examine the effect of high-frequency trading on market quality from the perspective of a limit order trader. By competing with slower limit order traders, high-frequency traders impose a welfare externality by selectively crowding out the most profitable limit orders. The order book imbalance immediately before each order submission, cancellation, and trade suggests that high-frequency traders strategically use limit order book information to supply liquidity on the thick side of the order book and demand liquidity from the thin side. This strategic behavior is more pronounced during volatile periods and when trading speeds increase. This paper was accepted by Bruno Biais, finance. Funding: This work was supported by the Centre for International Finance and Regulation [Grant T013]. Supplemental Material: The online appendix and data are available at https://doi.org/10.1287/mnsc.2022.4539 .