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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

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

Ambrus, A. and Elliott, M. Investments in Social Ties, Risk Sharing, and Inequality Review of Economic Studies [2021]

Freund, L. B., Lee, H. and Rendahl, P. The Risk-Premium Channel of Uncertainty: Implications for Unemployment and Inflation Review of Economic Dynamics, forthcoming [2023]

Ascari, G. and Haber, T. Non-Linearities, State-Dependent Prices and the Transmission Mechanism of Monetary Policy The Economic Journal [2022]