High-frequency traders’ evolving role as market makers

dc.contributor.author	Banerjee, Anirban
dc.contributor.author	Roy, Prince
dc.date.accessioned	2023-12-05T10:05:38Z
dc.date.available	2023-12-05T10:05:38Z
dc.date.issued	2023-10-12
dc.identifier.issn	18790585
dc.identifier.uri	http://hdl.handle.net/11718/26979
dc.description.abstract	The current academic literature on HFTs considers them as the present-day de facto market makers. We show that HFT trading strategies have moved away from passive market-making over time. We explore the role of regulatory hurdles in this regard and find that penalties on high OTR (order-to-trade ratio) negatively affect HFT market-making and result in HFTs participating in trades as liquidity takers rather than liquidity providers. HFT passive market making is positively associated with the OTR. We also observe reduced profitability of HFT market-making strategies over time.	en_US
dc.language.iso	en	en_US
dc.publisher	Elsevier	en_US
dc.relation.ispartof	Pacific-Basin Finance Journal	en_US
dc.subject	Market microstructure	en_US
dc.subject	High frequency trading	en_US
dc.subject	Market-making	en_US
dc.title	High-frequency traders’ evolving role as market makers	en_US
dc.type	Article	en_US

Files in this item

Files	Size	Format	View
There are no files associated with this item.