Microstructure in the Machine Age: Frictions Still Matter
This paper shows that classic market microstructure measures like VPIN, Amihud, and Roll still have predictive power—even in modern, high-frequency, machine-traded markets.
HFT
Millisecond to second-level trades, focused on speed and market-making.
Latest posts
When Speed Fails: HFT Behavior During the Flash Crash
This paper studies how High-Frequency Traders (HFTs) and Market Makers behaved during the Flash Crash of May 6, 2010. It shows that HFTs didn’t cause the crash—but also didn’t help stabilize it. They traded fast and in the same direction as prices, while traditional market makers pulled back.
What Do HFTs Really Do? Competition, Volatility, and Market Structure
This paper reveals that high-frequency trading (HFT) is not one big strategy—but three distinct types. It shows that when HFTs compete in market-making, volatility actually goes down, and smaller exchanges become more viable.
Speed = Alpha? Measuring the Edge in High-Frequency Trading
This paper shows that in high-frequency trading (HFT), milliseconds matter. The fastest firms earn the majority of profits, not because they make better trades—but because they make more of them, faster. Speed wins.
HFT vs. Institutions: When Speed Meets Size
High-frequency traders (HFTs) often compete with large institutional trades, raising execution costs for informed orders. This paper shows that when HFT speed is restricted, price impact drops—especially for skilled institutional traders.
Speed Wins: How HFT Crowds Out Slower Traders
This paper shows that high-frequency traders use their speed to crowd out slower traders from the most profitable limit order executions. They exploit fleeting imbalances in the order book and withdraw when risk increases—leaving slower traders with poor fills.
Market Return Around the Clock
Most stock market gains happen during a four-hour window before European markets open. This paper finds that almost all returns come from this short time period, likely because investors are reacting to overnight news. A simple strategy that trades during this window beats buy-and-hold.