Report looking at sources of information and profits in high frequency trading.
Ref: BIS/11/1241 PDF, 237KB, 16 pages
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This paper sets out the different types of short term information used by high frequency traders and discusses the various sources of their profits. It considers the implications of these results and possible changes in market structure over the next 10 years.
This review was commissioned as part of the Foresight project on the future of computer trading.