[{"data":1,"prerenderedAt":-1},["ShallowReactive",2],{"doc-seo-639165-105":3,"detail-sidebar-cat-0-en-105":80,"doc-detail-639165-en":130},{"code":4,"msg":5,"data":6},0,"ok",{"site_id":7,"language":8,"slug":9,"title":10,"keywords":11,"description":12,"schema_data":13,"social_meta":73,"head_meta":75,"extra_data":77,"updated_unix":79},105,"en","working-paper-series-no-16-02-high-frequency-trading-and-price-discovery","Working PaPer Series - no 16 02 - HigH Frequency Trading and Price diScovery","","Empirical study examining the role of high-frequency traders (HFTs) in price discovery and price efficiency using transaction-level data. Findings show HFTs facilitate price efficiency by trading with permanent price changes and counteracting transitory pricing errors, both on average and during the highest-volatility days. Mechanism centers on liquidity-demanding orders, while liquidity-supplying orders are adversely selected. Trading direction predicts short-horizon price changes and aligns with public information such as macro news, broad market moves, and limit order book imbalances.",{"@graph":14,"@context":72},[15,34,55],{"@type":16,"itemListElement":17},"BreadcrumbList",[18,23,27,31],{"item":19,"name":20,"@type":21,"position":22},"https://docshare.wps.com","Home","ListItem",1,{"item":24,"name":25,"@type":21,"position":26},"https://docshare.wps.com/document/","Document",2,{"item":28,"name":29,"@type":21,"position":30},"https://docshare.wps.com/document/research-report/","Research & Report",3,{"item":32,"name":10,"@type":21,"position":33},"https://docshare.wps.com/document/working-paper-series-no-16-02-high-frequency-trading-and-price-discovery/639165/",4,{"url":32,"name":10,"@type":35,"image":36,"author":41,"headline":10,"publisher":44,"fileFormat":47,"inLanguage":8,"description":12,"dateModified":48,"datePublished":49,"encodingFormat":47,"isAccessibleForFree":50,"interactionStatistic":51},"DigitalDocument",{"url":37,"@type":38,"width":39,"height":40},"https://docshare.wps.com/thumbnails/working-paper-series-no-16-02-high-frequency-trading-and-price-discovery/639165.png","ImageObject",300,407,{"name":42,"@type":43},"SANS","Person",{"url":19,"name":45,"@type":46},"DocShare","Organization","application/pdf","2026-10-29","2026-10-22",true,{"@type":52,"interactionType":53,"userInteractionCount":33},"InteractionCounter",{"@type":54},"ViewAction",{"@type":56,"mainEntity":57},"FAQPage",[58,64,68],{"name":59,"@type":60,"acceptedAnswer":61},"What is the paper investigating about high-frequency traders (HFTs)?","Question",{"text":62,"@type":63},"The paper examines HFTs’ role in price discovery and price efficiency.","Answer",{"name":65,"@type":60,"acceptedAnswer":66},"How do HFTs affect price efficiency according to the results?",{"text":67,"@type":63},"Overall, HFTs facilitate price efficiency by trading with permanent price changes and against transitory pricing errors, including on the highest-volatility days.",{"name":69,"@type":60,"acceptedAnswer":70},"What predicts short-horizon price changes in this study?",{"text":71,"@type":63},"The direction of HFTs’ buying and selling predicts price changes over short horizons measured in seconds.","https://schema.org",{"og:url":32,"og:type":74,"og:title":10,"og:site_name":45,"og:description":12},"article",{"robots":76,"canonical":32},"index,follow",{"doc_id":78,"site_id":7},639165,1792897318,{"code":4,"msg":81,"data":82},"success",[83,87,91,95,100,105,110,114,119,122,126],{"id":22,"doc_module":4,"doc_module_name":25,"category_name":84,"show_sort_weight":85,"slug":86},"Story & Novel",90,"story-novel",{"id":26,"doc_module":4,"doc_module_name":25,"category_name":88,"show_sort_weight":89,"slug":90},"Literature",80,"literature",{"id":33,"doc_module":4,"doc_module_name":25,"category_name":92,"show_sort_weight":93,"slug":94},"Exam",70,"exam",{"id":96,"doc_module":4,"doc_module_name":25,"category_name":97,"show_sort_weight":98,"slug":99},5,"Comic",60,"comic",{"id":101,"doc_module":4,"doc_module_name":25,"category_name":102,"show_sort_weight":103,"slug":104},6,"Technology",50,"technology",{"id":106,"doc_module":4,"doc_module_name":25,"category_name":107,"show_sort_weight":108,"slug":109},7,"Healthcare",40,"healthcare",{"id":111,"doc_module":4,"doc_module_name":25,"category_name":29,"show_sort_weight":112,"slug":113},8,30,"research-report",{"id":115,"doc_module":4,"doc_module_name":25,"category_name":116,"show_sort_weight":117,"slug":118},9,"Religion & Spirituality",20,"religion-spirituality",{"id":117,"doc_module":4,"doc_module_name":25,"category_name":120,"show_sort_weight":117,"slug":121},"World Cup","world-cup",{"id":123,"doc_module":4,"doc_module_name":25,"category_name":124,"show_sort_weight":123,"slug":125},10,"Lifestyle","lifestyle",{"id":127,"doc_module":4,"doc_module_name":25,"category_name":128,"show_sort_weight":96,"slug":129},19,"General","general",{"code":4,"msg":81,"data":131},{"doc_id":78,"user_id":132,"nickname":42,"user_avatar":133,"doc_module":4,"category_id":111,"category_name":29,"doc_title":10,"doc_description":12,"doc_content":134,"file_id":135,"file_url":136,"file_type":137,"file_size":138,"view_count":33,"is_deleted":4,"is_public":22,"is_downloadable":22,"audit_status":22,"page_count":139,"language":140,"language_code":8,"site_id":7,"html_lang":8,"table_of_contents":141,"faqs":142,"seo_title":143,"seo_description":12,"update_tm":144,"read_time":145},962090760505,"https://ap-avatar.wpscdn.com/davatar_155a257f0dc6eb9ab79c44ca47cae57d","Working PaPer SerieS  \nno 16 0 2 / november 2013  \nHigH Frequency Trading and Price diScovery  \nJonathan Brogaard, Terrence Hendershott and Ryan Riordan  \nnoTe: This Working Paper should not be reported as representing the views of the European Central Bank (ECB).The views expressed are those of the authors and do not necessarily reflect those of the ECB.  \nLamfalussy Fellowships  \nThis paper has been produced under the ECB Lamfalussy Fellowship programme. This programme was launched in 2003 in the context of the ECB-CFS Research Network on “Capital Markets and Financial Integration in Europe”. It aims at stimulating high-quality research on the structure, integration and performance of the European financial system.  \nThe Fellowship programme is named after Baron Alexandre Lamfalussy, the first President of the European Monetary Institute. Mr Lamfalussy is one of the leading central bankers of his time and one of the main supporters of a single capital market within the European Union.  \nEach year the programme sponsors five young scholars conducting a research project in the priority areas of the Network. The Lamfalussy Fellows and their projects are chosen by a selection committee composed of Eurosystem experts and academic scholars. Further information about the Network can be found at [http://www.eufinancial-system.org and about the Fellowship programme under](http://www.eufinancial-system.org and about the Fellowship programme under)[ ](http://www.eufinancial-system.org and about the Fellowship programme under)[the menu point](the menu point) “fellowships”.  \nAcknowledgements  \nWe thank Frank Hatheway and Jeff Smith at NASDAQ OMX for providing data. NASDAQ makes the data freely available to academics providing a project description and signing a non-disclosure agreement. We thank participants at the Fifth Erasmus Liquidity Conference, University of Notre Dame & NASDAQ OMX Conference on Current Topics in Financial Regulation, and Workshop on High Frequency Trading: Financial and Regulatory Implications as well as Álvaro Cartea, Frank de Jong, Richard Gorelick, Charles Jones, Andrei Kirilenko, Charles Lehalle, Albert Menkveld, Adam Nunes, Roberto Pascual, Gideon Saar, Stephen Sapp, and Cameron Smith for helpful comments. This paper has been prepared by the author(s) under the Lamfalussy Fellowship Program sponsored by the ECB. Any views expressed are only those of the author(s) and do not necessarily represent the views of the ECB or the Eurosystem. All errors are our own.  \nJonathan Brogaard  \nUniversity of Washington  \nTerrence Hendershott  \nUniversity of California at Berkeley  \nRyan Riordan (corresponding author)  \nUniversity of Ontario Institute of Technology; e-mail: [ryan.riordan@uoit.ca](ryan.riordan@uoit.ca)  \n© European Central Bank, 2013  \nAddress Kaiserstrasse 29, 60311 Frankfurt am Main, Germany  \nPostal address Postfach 16 03 19, 60066 Frankfurt am Main, Germany  \nTelephone +49 69 1344 0  \nInternet [http://www.ecb.europa.eu](http://www.ecb.europa.eu)  \nFax +49 69 1344 6000  \nAll rights reserved.  \nISSN 1725-2806 (online)  \nEU Catalogue No QB-AR-13-099-EN-N (online)  \nAny reproduction, publication and reprint in the form of a different publication, whether printed or produced electronically, in whole or in part, is permitted only with the explicit written authorisation of the ECB or the authors.  \nThis paper can be downloaded without charge from [http://www.ecb.europa.eu or](http://www.ecb.europa.eu or) from the Social Science Research Network electronic  \nlibrary at [http://ssrn.com/abstract_id=1928510](http://ssrn.com/abstract_id=1928510) .  \nInformation on all of the papers published in the ECB Working Paper Series can be found on the ECB’s website, [http://www.ecb](http://www.ecb). europa.eu/pub/scientific/wps/date/html/index.en.html  \nABSTRACT  \nWe examine empirically the role of high-frequency traders (HFTs) in price discovery and price efficiency. Based on our methodology, we find overall that HFTs faci","cbCaijBEjmUcIXly","https://ap.wps.com/l/cbCaijBEjmUcIXly","pdf",985026,57,"English","# Abstract\n## Research focus\n## Key findings\n## Mechanism and evidence\n## Correlation with information","[{\"question\":\"What is the paper investigating about high-frequency traders (HFTs)?\",\"answer\":\"The paper examines HFTs’ role in price discovery and price efficiency.\"},{\"question\":\"How do HFTs affect price efficiency according to the results?\",\"answer\":\"Overall, HFTs facilitate price efficiency by trading with permanent price changes and against transitory pricing errors, including on the highest-volatility days.\"},{\"question\":\"What predicts short-horizon price changes in this study?\",\"answer\":\"The direction of HFTs’ buying and selling predicts price changes over short horizons measured in seconds.\"}]","Working PaPer Series - no 16 02 - HigH Frequency Trading and Price diScovery | PDF",1792702109,144]