I talked the 6th of April 2018 about what we understand today about practices of High Frequency Market Makers.
I based my talk on three papers:
- Lehalle, C.-A., & Mounjid, O. (2016) Limit order strategic placement with adverse selection risk and the role of latency
- Lehalle, C.-A., Mounjid, O., & Rosenbaum, M. (2018). Optimal liquidity-based trading tactics. ArXiv version
- Megarbane, N., Saliba, P., Lehalle, C.-A., & Rosenbaum, M. (2017). The behaviour of High-Frequency traders under different market stress scenarios. Tech. rep., SSRN.
SSRN version
