My article The Diversity of High-Frequency Traders, coauthored with Lars Nordén, has been accepted for publication in a special issue on HFT, due to come out soon in the Journal of Financial Markets. This summer we are also presenting the article at the WFA in Lake Tahoe and at the EFA in Cambridge.
The key finding of this article is that all HFTs are not the same. We show that a group of HFTs that serve as voluntary market-makers at the Swedish equity market behave very differently from other HFTs at the same market. We also find that market-making HFT activity reduces short-term price fluctuations.
This is our first article in a series of studies planned on HFTs at the Swedish stock market. The data is provided by NASDAQ-OMX Stockholm.