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SUMMARY:Liquidity Suppliers and High Frequency Trading - Protter\, P (Colu
 mbia University)
DTSTART:20131121T095000Z
DTEND:20131121T104000Z
UID:TALK48946@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:We use a liquidity model to study mathematically the effect of
  ultra high frequency traders\, and to show how the markets have changed s
 ince ultra high frequency traders (UHFTs) burst onto the scene a half deca
 de ago. In particular we show how they exploit the limit order book to ens
 ure that most algorithmic traders trade at the limits of their market orde
 rs. The UHFTs pocket the liquidity profits that were traditionally the pro
 vince of institutional traders\, and in addition exploit their speed advan
 tage and clever tricks to make the purchase of stocks via limit orders as 
 expensive as possible\, and the sale of stocks to be at the lowest price t
 he institutional traders are willing to pay. \n
LOCATION:Seminar Room 2\, Newton Institute Gatehouse
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