Knowledge: White Papers

  • High-Frequency Trading, Stock Volatility, and Price Discovery
    • Frank Zhang (December 27, 2010)

      High-frequency trading has become a dominant force in the U.S. capital market, accounting for over 70% of dollar trading volume. This study examines the implication of high-frequency trading for stock price volatility and price discovery. Overall, this paper demonstrates that high-frequency trading may potentially have some harmful effects for the U.S. capital market.