2022/11/11 by Ziyi Xu, Xu, Ziyi, Cheng, Xue
Decision Sciences · Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Economics and business #Financial Markets and Investment Strategies #General Economics (econ.GN) #Mathematical Finance (q-fin.MF) #Stock Market Forecasting Methods #Trading and Market Microstructure (q-fin.TR)
paper · pdf · doi:10.48550/arxiv.2211.06046
openalex publication_date 2022/11/11 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This paper studies the influences of a high-frequency trader (HFT) on a large trader whose future trading is predicted by the former. We conclude that HFT always front-runs and the large trader is benefited when: (1) there is sufficient high-speed noise trading; (2) HFT's prediction is vague enough. Besides, we find surprisingly that (1) making HFT's prediction less accurate might decrease large trader's profit; (2) when there is little high-speed noise trading, although HFT nearly does nothing, the large trader is still hurt.