High-frequency trading as viewed through an electron microscope

Albert J. Menkveld*

*Corresponding author for this work

Research output: Contribution to JournalReview articleAcademicpeer-review


The electron microscope improved our vision by a factor of 1 million, enabling us to see atoms. In this study, I aim for a similar leap by examining trades executed in nanoseconds, a million times more precise than the oft-used milliseconds. This approach allows us to observe asset reallocations among rapid-fire “tradebots,” including those used by high-frequency traders (HFTs). Some 20% of trades occur in submillisecond clusters, which seem to have no price instability. Although submillisecond trade bursts are costly to non-HFTs in terms of adverse selection, these costs can be avoided.

Original languageEnglish
Pages (from-to)24-31
Number of pages8
JournalFinancial Analysts Journal
Issue number2
Publication statusPublished - 1 Jan 2018


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