Abstract: The presence of high-frequency traders has been conjectured to induce instability in the stock market. However, the exact trading strategies are not visible to outside observers and therefore, it is still an open question as to what is the contribution, if any, of HFTs to such instability. In this paper, we exploit order imbalance data to study how information comovement may induce aggregate market dynamics and in particular, the role played by HFTs thererin. |
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