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High Speed Equities Trading: 1993–2012
Hans R. Stoll 한국증권학회 2014 Asia-Pacific Journal of Financial Studies Vol.43 No.6
High speed trading has drawn the attention of regulators who fear that such trading harms mar-kets and leads to excessive speculation.1 The Flash Crash of May 6, 2010 is taken as evidence ofthe potential harmful effects of high frequency trading. On the other hand, some view high fre-quency trading as a manifestation of technological advances that have reduced the optimal tradesize and improved order routing. From that perspective, high speed trading is a continuation ofa long-standing trend to more rapid and more efficient trading. This study shows that the speedof trading has changed dramatically. The average number of trades per day for large cap NewYork Stock Exchange stocks has risen from about 500 to more than 40 000 in the period 1993–2011. At the same time, the average trade size has fallen from 1600 shares to 200 shares. Theultimate sources of these changes are the technology that has automated almost all aspects oftrading and the regulatory developments that have helped reduce bid-ask spreads and mademarkets more accessible. The result of these developments is that markets are considerably moreliquid and less costly. High frequency traders draw on this liquidity and also contribute to it.