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Cited by 1,146

The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.

High-Frequency Trading and Price Discovery

Open access
Brogaard, Jonathan, Hendershott, Terrence, Riordan, Ryan·2014·Review of Financial Studies
DOI 10.1093/rfs/hhu032
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Abstract

We examine the role of high-frequency traders (HFTs) in price discovery and price efficiency. Overall HFTs facilitate price efficiency by trading in the direction of permanent price changes and in the opposite direction of transitory pricing errors, both on average and on the highest volatility days. This is done through their liquidity demanding orders. In contrast, HFTs' liquidity supplying orders are adversely selected. The direction of HFTs' trading predicts price changes over short horizons measured in seconds. The direction of HFTs' trading is correlated with public information, such as macro news announcements, market-wide price movements, and limit order book imbalances.

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Metadata

Authors
Brogaard, J., Hendershott, T., & Riordan, R.
Venue
Review of Financial Studies
Publisher
Oxford University Press (OUP)
Published
2014-05-14
Volume
27
Issue
8
Pages
2267-2306
ISSN
  • 0893-9454 (ISSN-L)
  • 1465-7368
DOI
10.1093/rfs/hhu032
OpenAlex
W2238750598
Cited by
1,146
References
1
FWCI
191.73
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: High-Frequency Trading and Price Discovery. https://app.cochat.ai/papers/10.1093/rfs/hhu032
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Brogaard, J., Hendershott, T., & Riordan, R. (2014). High-Frequency Trading and Price Discovery. Review of Financial Studies. https://doi.org/10.1093/rfs/hhu032

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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.