SSRNTrading, Microstructure & Execution
Identifying High Frequency Trading Activity without Proprietary Data
The article evaluates the reliability of commonly used indicators to identify high frequency traders, showing variations in performance and suggesting that unscaled proxies are more effective at indicating true HFT activity.
Featured in No. 14 on 30 Aug 2023 · 6 days after release · 4 citations today
- Released
- 24 Aug 2023
- First featured
- No. 14 · 30 Aug 2023
- Citations (Semantic Scholar)
- 4
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 4
- Identifier
- SSRN 4551238
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).