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High-frequency trading, low-frequenc...

Li, Kun.

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High-frequency trading, low-frequency trading and the limit order market.

Record Type:	Electronic resources : Monograph/item
Title/Author:	High-frequency trading, low-frequency trading and the limit order market./
Author:	Li, Kun.
Description:	108 p.
Notes:	Source: Dissertation Abstracts International, Volume: 77-03(E), Section: A.
Contained By:	Dissertation Abstracts International77-03A(E).
Subject:	Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3733978
ISBN:	9781339224077

High-frequency trading, low-frequency trading and the limit order market.
Li, Kun.

High-frequency trading, low-frequency trading and the limit order market. - 108 p.

Source: Dissertation Abstracts International, Volume: 77-03(E), Section: A.

Thesis (Ph.D.)--Illinois Institute of Technology, 2015.

The emergence of High-Frequency Trading (HFT) has met with mixed reactions in both investment and academic communities. However, there still exist gaps on distinguishing and interpreting the impact of HFT on the Low-Frequency Trading (LFT) side. In this thesis, I present three chapters that address the impact of HFT to LFT. I find evidence to distinguish trading generated by HFT in the limit order market, and consequently apply to explore how HFT affects LFT in terms of the liquidity and the order execution quality. In addition, I further explore the fleeting orders generated by HFT and their impact on the liquidity of LFT.

ISBN: 9781339224077Subjects--Topical Terms:

542899
Finance.

High-frequency trading, low-frequency trading and the limit order market.
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020 $a 9781339224077
035 $a (MiAaPQ)AAI3733978
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100 1 $a Li, Kun. $3 1294822
245 1 0 $a High-frequency trading, low-frequency trading and the limit order market.
300 $a 108 p.
500 $a Source: Dissertation Abstracts International, Volume: 77-03(E), Section: A.
500 $a Adviser: Benjamin E. Van Vliet.
502 $a Thesis (Ph.D.)--Illinois Institute of Technology, 2015.
520 $a The emergence of High-Frequency Trading (HFT) has met with mixed reactions in both investment and academic communities. However, there still exist gaps on distinguishing and interpreting the impact of HFT on the Low-Frequency Trading (LFT) side. In this thesis, I present three chapters that address the impact of HFT to LFT. I find evidence to distinguish trading generated by HFT in the limit order market, and consequently apply to explore how HFT affects LFT in terms of the liquidity and the order execution quality. In addition, I further explore the fleeting orders generated by HFT and their impact on the liquidity of LFT.
590 $a School code: 0091.
650 4 $a Finance. $3 542899
690 $a 0508
710 2 $a Illinois Institute of Technology. $b Stuart School of Business. $3 3182822
773 0 $t Dissertation Abstracts International $g 77-03A(E).
790 $a 0091
791 $a Ph.D.
792 $a 2015
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3733978