Michael Brolley and Marius Zoican
FMA 2020 October 22, 2020
HFT races drive up exchange costs...
...but is that enough to stop them?
Asset
Traders
If HFT "snipers'' submit a marketable order simultaneously, each is charged a fee
HFTs post quotes at t=0.
Afterwards, nothing happens until a "trigger event:''
HFTs determine:
HFT expected profits (sum over random # of competitors in the race)
What about fee revenues?