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

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@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",
  note =         "forthcoming",
  keywords =     "genetic algorithms, genetic programming",
  URL =          "https://onlinelibrary.wiley.com/doi/abs/10.1111/irfi.12159",
  DOI =          "doi:10.1111/irfi.12159",
  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.",
}

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

Citations