arXiv Paper: Tracking High-Frequency Trading Activity in the Chinese Market and Its Impact on Market Quality
This arXiv quantitative finance paper proposes a new proxy for high-frequency trading activity based on actively priced limit orders, and validates its effectiveness using data from the Shenzhen Stock Exchange. The proxy is defined as limit orders whose price exactly matches the current best opposite quote. Validation shows these orders respond faster to quote updates, cancel more quickly, concentrate when depth imbalance is favorable and spreads are narrow, and can predict mid-quote returns over horizons from 100 milliseconds to 10 minutes.
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