Abstract
The controversy about the high-frequency trading (HFT) behavior and its impact on the other trader parties has been a long-term question. This study examines how the HFT behavior affects the execution of orders traded by non-HFT traders. Using a NASDAQ order book data, we categorize orders as either high or low-frequency trading (LFT), and examine several measures. We find evidence that more HFT behavior will increase the number of executed LFT orders, as well as volumes and attained revenue for each LFT orders, and reduce the waiting time for execution. Our results apply to both LFT limit orders and market orders.
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