Nayereh moradi janbahan - Karaj,Alborz

High-frequency traders account for a significant part of overall price formation and liquidity provision in securities markets. In order to react within microseconds, high-frequency traders depend on specialized low latency infrastructure and fast connections to exchanges, which require significant IT investments. The paper investigates a technical failure of this infrastructure at a major exchange that prevents high-frequency traders from trading at low latency. This event provides a unique opportunity to analyze the impact of high-frequency trading on securities market [۱۴]. Moreover, HFT generates profits on both positive and negative return days. Yet, HFT activity does not have an impact on volatility. These findings raise concerns regarding HFT and show potential externalities are not specific to the markets with HFT dominance.

High-frequency trading, Market quality, Securities markets, liquidity risk