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Algorithmic trading

High-frequency trading

Working paper

Is high frequencey trading beneficial to market quality?

This report discusses how high frequency trading (HFT) has changed the dynamics of the market and whether traditional academic measures of market “quality” are relevant in the new world of electronic trading. Using existing measures of market quality, which were designed over 20 years ago...
Working paper

Heterogeneity in the effects of algorithmic and high-frequency traders on institutional transaction costs

The net effects of algorithmic and high-frequency traders mask considerable heterogeneity in how they impact institutional transaction costs. Using regulatory data, we analyze the heterogeneity across individual trading accounts. We develop a method to identify subsets of traders causally related to higher institutional transaction costs...
Briefing paper

Australia's Tobin tax: arguments and evidence

Executive Summary A tax on financial transactions, or 'Tobin' tax, could protect superannuation investors, improve the operation of Australia’s capital markets and provide a source of tax revenue worth over $1 billion per year. Protecting investors