It seems like every day now that we find a new academic paper that refutes many of the high frequency traders claims that they are helping the market. This time we present to you a paper titled “A Multiscale Model of High Frequency Trading” written by Andrei Kirilenko of the CFTC and Xiangqian Meng and Richard Sowers of the University of Illinois. The paper states:
“The main issue to which we address our model is volatility. An important question is how volatility is affected by HFT. In our stylized model,
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