A Dysfunctional Role of High Frequency Trading in Electronic Markets Robert A. Jarrow Cornell University - Samuel Curtis Johnson Graduate School of Management
Philip Protter March 8, 2011 Johnson School Research Paper Series No. 08-2011 Abstract: This paper shows that high frequency trading may play a dysfunctional role in financial markets. Contrary to arbitrageurs who make financial markets more efficient by taking advantage of and thereby eliminating mispricings, high frequency traders can create a mispricing that they unknowingly exploit to the disadvantage of ordinary investors. This mispricing is generated by the collective and independent actions of high frequency traders, coordinated via the observation of a common signal. Number of Pages in PDF File: 14 Working Paper Series Date posted: March 09, 2011 http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1781124 _______________________________________________ Infowarrior mailing list [email protected] https://attrition.org/mailman/listinfo/infowarrior
