2 papers
q-fin.GN2026
Data-Driven Measures of High-Frequency Trading
Gbenga Ibikunle, Ben Moews, Dmitriy Muravyev +1
Public data do not identify high-frequency trading (HFT), and standard proxies do not separate liquidity-supplying from liquidity-demanding strategies. We overcome this measurement…
q-fin.CP2024
Data-driven measures of high-frequency trading
G. Ibikunle, B. Moews, D. Muravyev +1
Public data do not identify high-frequency trading (HFT), and standard proxies do not separate liquidity-supplying from liquidity-demanding strategies. We overcome this measurement…