How is the price of gold established? In the futures or ETF market? And what role does high-frequency trading play a role in gold price discovery? Such are the questions academic Joerg Picard sought to answer in the first HFT academic study of the gold market based on millisecond data. One result of the study was a determination not only of HFT’s role in price discovery and commentary on the ETF market as a primary follower, but also the importance of institutional investors in gold price discovery was revealed.
Setup a free account to get access to this article (no credit card required).
Login required to continue reading.
Already a member? Log in here
