2 papers
q-fin.GN2026
Data-Driven Measures of High-Frequency Trading
Gbenga Ibikunle, Ben Moews, Dmitriy Muravyev +1
We introduce data-driven measures of high-frequency trading (HFT) that distinguish between liquidity-supplying and liquidity-demanding strategies. We train machine learning models…
q-fin.CP2025
Data-driven measures of high-frequency trading
G. Ibikunle, B. Moews, D. Muravyev +1
High-frequency trading (HFT) accounts for almost half of equity trading volume, yet it is not identified in public data. We develop novel data-driven measures of HFT activity that…