Ultra-Fast Activity and Intraday Market Quality Articles uri icon

publication date

  • February 2019

start page

  • 157

end page

  • 181


  • 19

International Standard Serial Number (ISSN)

  • 0378-4266

Electronic International Standard Serial Number (EISSN)

  • 1872-6372


  • This paper studies the intraday relationship between ultra-fast machine-driven activity (UFA) and market quality in automated equity markets. We find that higher UFA is associated with lower intraday market quality (greater quoted and effective spreads and lower depth). This effect is economically significant, and robust to different specifications, endogeneity tests, and alternative measures of UFA. Our results hold after controlling for volatility, periods of unusually high UFA (a proxy for quote stuffing), and periods where UFA is primarily driven by fleeting orders inside the spread (a proxy for spoofing and competition between liquidity providers)


  • Business
  • Economics


  • high-frequency trading; hft; algorithmic trading; market quality; low latency; intraday trading; spoofing; fleeting orders; quote stuffing