板の中心値段からの距離と約定の関連分析
2019 年 2019 巻 FIN-022 号 p. 06-
詳細
2019 年 2019 巻 FIN-022 号 p. 06-
The increase of high-frequency trading (HFT) in stock market increases the importance of the analysis of its behaviors. In this study, we analyze it based on the previous research which analyzed it from the viewpoint of "Make and Take orders". The characteristics of our analysis is "analysis of tick distance", and our findings include: 1) the upgrade of stock trading system enables the handling of current trading volume that increased 4 times from 2010 to 2018, 2) Although HFT is making "make orders" away from the best quotes, such orders will not be executed.
