Front-running and market quality: An evolutionary perspective on high frequency trading

Created by W.Langdon from gp-bibliography.bib Revision:1.8051

@Article{Hens2018,

• author = "Thorsten Hens and Terje Lensberg and Klaus Reiner Schenk-Hoppe",
• title = "Front-running and market quality: An evolutionary perspective on high frequency trading",
• journal = "International Review of Finance",
• year = "2018",
• volume = "18",
• number = "4",
• pages = "727--741",
• month = dec,
• keywords = "genetic algorithms, genetic programming",
• URL = "https://onlinelibrary.wiley.com/doi/abs/10.1111/irfi.12159",
• DOI = "doi:10.1111/irfi.12159",
• size = "15 pages",
• abstract = "We study front-running by high-frequency traders (HFTs) in a limit order model with continuous trading. The model describes an evolutionary equilibrium of low-frequency traders who compete in portfolio management services by offering investment styles. The introduction of front-runners inflicts heavy losses on speculators, while leaving passive investors relatively unscathed. This encourages investment in the market portfolio and markedly reduces overall turnover. Speculative trading persists despite its lower profitability. By most measures, market quality is not affected to any significant extent by front-running HFTs.",
• notes = "JEL Codes: D53; D47; C63; C73",

}

Genetic Programming entries for Thorsten Hens Terje Lensberg Klaus Reiner Schenk-Hoppe

Citations