Those of you on Twitter may know that my avatar (@ThemisSal) is a “smoking kid”, which is my way of poking fun of the many industry-sponsored academic studies that remind me of the tobacco-company studies that years back concluded that smoking was not harmful. However I may have to give up my avatar to the author of this study on High Frequency Trading by the University of California at Berkeley’s Xin Guo.
In this study Guo details what he calls a “smoking strategy”, where market makers place orders/quotes inside of
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