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Faculty of Economics

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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  

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Papers and Publications

Recent Publications

Porzio, T., Rossi, F. and Santangelo, G. The Human Side of Structural Transformation American Economic Review [2022]

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

Gallo, E. and Yan, C. Efficiency and Equilibrium in Network Games: An Experiment Review of Economics and Statistics [2023]

Carneiro, P., Liu, K. and Salvanes, K. G. The Supply of Skill and Endogenous Technical Change: Evidence from a College Expansion Reform Journal of the European Economic Association [2023]