Abstract
We develop a new method to proxy the High-Frequency Trading (HFT) activity of Chinese stock market by searching order-trade data with low latency and message linkage. We find that daily average percent of HFT detected by the method is 3.8029% between September 2014 and December 2020. Meanwhile, stocks with the highest participation of HFT manifest best profitability, and the profit advantage declines gradually after 2019.
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