What Makes HFTs Tick? Tick Size Changes and Information Advantage in a Market with Fast and Slow Traders

Alain P. Chaboud
Alain P. Chaboud
[email protected]
https://orcid.org/0000-0001-5920-9755
Federal Reserve Board of Governors, Washington, District of Columbia 20551;
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,
Avery Dao
Avery Dao
[email protected]
Prudential Financial, Newark, New Jersey 07102
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,
Clara Vega
Corresponding Author
Clara Vega
[email protected]
https://orcid.org/0009-0006-7913-1477
Federal Reserve Board of Governors, Washington, District of Columbia 20551;
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,
Filip Zikes
Filip Zikes
[email protected]
https://orcid.org/0000-0001-7073-4067
Federal Reserve Board of Governors, Washington, District of Columbia 20551;
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Alain P. Chaboud

Alain P. Chaboud

[email protected]

https://orcid.org/0000-0001-5920-9755

Federal Reserve Board of Governors, Washington, District of Columbia 20551;

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,

Avery Dao

[email protected]

Prudential Financial, Newark, New Jersey 07102

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,

Corresponding Author

Clara Vega

[email protected]

https://orcid.org/0009-0006-7913-1477

Federal Reserve Board of Governors, Washington, District of Columbia 20551;

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,

Filip Zikes

[email protected]

https://orcid.org/0000-0001-7073-4067

Federal Reserve Board of Governors, Washington, District of Columbia 20551;

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Published Online:15 Apr 2024https://doi.org/10.1287/mnsc.2022.02935

Supplemental Material

The replication files for this article are available HERE.

cover image Management Science

Volume 71, Issue 1

January 2025

Pages iv-vi, 1-953, vii-vii

Article Information

Supplemental Material

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Received:September 20, 2022
Accepted:December 19, 2023
Published Online:April 15, 2024

Copyright © 2024, INFORMS

Cite as

Alain P. Chaboud, Avery Dao, Clara Vega, Filip Zikes (2024) What Makes HFTs Tick? Tick Size Changes and Information Advantage in a Market with Fast and Slow Traders. Management Science 71(1):553-583.

https://doi.org/10.1287/mnsc.2022.02935

Keywords

Acknowledgments

The authors thank EBS for providing the data. The authors thank Tom Auld, Mark Berry, Larry Harris, Thierry Foucault, Brian Weller, and participants in seminars at the “Market Microstructure: Confronting Many View Points” conference in Paris and at the University of Cambridge for helpful comments. The opinions expressed here are our own and do not necessarily reflect the views of Prudential or of the Federal Reserve Board or its staff.