High‐frequency trading and market quality: Evidence from account‐level futures data
利用账户级日内交易数据，研究发现高频交易参与度提高会改善期货市场质量，但激进交易有部分抵消效应，并利用2015年芝加哥商品交易所结算方法变更处理内生性。
Abstract We use rich regulatory data on intraday transactions and end‐of‐day positions to study how high‐frequency traders (HFTs) affect futures market quality. Panel estimation evidence shows that greater participation by HFTs is strongly associated with improvements in market quality (as measured by traded bid–ask spreads and the Amihud price impact), whereas higher rates of aggressive trading, such as those observed when HFTs trade directionally to reduce their positions, produce a partially offsetting effect. We find that while futures contracts are sensitive to market uncertainty (as measured by VIX), they are more sensitive to their own price volatility. We take advantage of the 2015 change in Chicago Mercantile Exchange's daily settlement methodology for agricultural commodities to address potential endogeneity using a fixed‐effects difference‐in‐difference setup. Our results are robust to relying on alternative estimation techniques, using overly conservative (clustered) standard errors, modeling various forms of cross‐sectional and temporal dependence, and studying each market separately.