ArticleProceedings of the National Academy of Sciences of the United States of America2021
High-frequency trading and networked markets.
Article in Proceedings of the National Academy of Sciences of the United States of America, 2021. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 5 papers.
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Who cites it
5 citing papers in PubMed.
- Exploring weighted network backbone extraction: A comparative analysis of structural techniques.PloS one · 2025Article
- Article
- An evaluation tool for backbone extraction techniques in weighted complex networks.Scientific reports · 2023Article
- Instability of networks: effects of sampling frequency and extreme fluctuations in financial data.The European physical journal. B · 2022Article
- Introduction to PNAS special issue on evolutionary models of financial markets.Proceedings of the National Academy of Sciences of the United States of America · 2021Article
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Authors and funding
3 authors.
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No grant is acknowledged in the PubMed record.
Abstract
Financial markets have undergone a deep reorganization during the last 20 y. A mixture of technological innovation and regulatory constraints has promoted the diffusion of market fragmentation and high-frequency trading. The new stock market has changed the traditional ecology of market participants and market professionals, and financial markets have evolved into complex sociotechnical institutions characterized by a great heterogeneity in the time scales of market members' interactions that cover more than eight orders of magnitude. We analyze three different datasets for two highly studied market venues recorded in 2004 to 2006, 2010 to 2011, and 2018. Using methods of complex network theory, we show that transactions between specific couples of market members are systematically and persistently overexpressed or underexpressed. Contemporary stock markets are therefore networked markets where liquidity provision of market members has statistically detectable preferences or avoidances with respect to some market members over time with a degree of persistence that can cover several months. We show a sizable increase in both the number and persistence of networked relationships between market members in most recent years and how technological and regulatory innovations affect the networked nature of the markets. Our study also shows that the portfolio of strategic trading decisions of high-frequency traders has evolved over the years, adding to the liquidity provision other market activities that consume market liquidity.
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