HFT ECB Report on NASDAQ Market, NYSE

ECB published a study on the impact of HFT today (NASDAQ, NYSE) to financial markets. The main conclusion, in fact - HFT killed scalping. Скачать его можно тут: http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1602.pdf The main findings are as follows: HFT повышает эффективность рынков, reducing pricing errors. If the regulators will wet the HFT, then the market efficiency will decrease, волатильность подрастет В моменты сильных сдвигов на рынке HFT может повышать нестабильность рынков. In the overview, all price changes are divided into two types: перманентные изменения цены ошибки ценообразования (шум) So HFT improves efficiency, when trading against noise. The noise level is reduced, the price becomes more efficient. But when HFTs start to play in the direction of large orders, they play in a permanent shift direction, and enhance the movement.