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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

(2011)

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: https://www.gov.uk/government/publications/future-of-computer-trading-in-financial-markets-working-paper


Papers and Publications



Recent Publications


Merrick Li, Z. and Linton, O. A ReMeDI for Microstructure Noise Econometrica, forthcoming [2021]

Onatski, A. and Wang, C. Spurious Factor Analysis Econometrica [2021]

Chen, C. Y.-H., Klochkov, Y. and Härdle, W. K. SONIC: SOcial Network analysis with Influencers and Communities Journal of Econometrics, forthcoming [2021]

Elliott, M., Georg, C-P. and Hazell, J. Systemic Risk Shifting in Financial Networks Journal of Economic Theory [2021]