skip to content

Faculty of Economics

Journal Cover

Linton, O. and O'hara, M

The Impact of Computer Trading on Liquidity, Price Efficiency/Discovery and Transaction Costs

The Future of Computer Trading in Financial Markets


Abstract: Computerised trading has become the norm in markets, affecting everything from portfolio selection to order submission to market making to clearing and settlement. New players such as high frequency traders (HFT) and new strategies employing algorithmic trading (AT) are influencing the behaviour and quality of markets. With estimates of HFT participation rates in European equity markets of 30-50% and in US equity markets as high as 70%, HFT has a profound influence on current markets.

Author links: Oliver Linton  

Publisher's Link:

Papers and Publications

Recent Publications

Merrick Li, Z. and Linton, O. A ReMeDI for Microstructure Noise Econometrica [2022]

Bhattacharya, D. The Empirical Content of Binary Choice Models Econometrica [2021]

Aidt, T. S., Albornoz, F. and Hauk, E. Foreign Influence and Domestic Policy Journal of Economic Literature [2021]

Ajzenman, N., Cavalcanti, T. and Da Mata, D More than Words: Leaders' Speech and Risky Behavior During a Pandemic American Economic Journal: Economic Policy, forthcoming [2023]