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Menkveld, AlbertJ. (2016). The Economics of High-Frequency Trading: Taking Stock Annual Review of Financial Economics, 8:1--24.

  • Journal
    Annual Review of Financial Economics
View publication

I review the recent high-frequency trader (HFT) literature to single out the economic channels by which HFTs affect market quality. I first group the various theoretical studies according to common denominators and discuss the economic costs and benefits they identify. For each group, I then review the empirical literature that speaks to either the models' assumptions or their predictions. This enables me to come to a data-weighted judgement on the economic value of HFTs.