In a new report, the New York Federal Reserve says that high frequency trading (HFT) has “enhanced market efficiency” in the foreign exchange markets.
Measurable arbitrage opportunities decreased as HFT was popularized
“Data (from the study) is certainly consistent with a view that the rise in algorithmic and High Frequency Trading enhanced market efficiency as measured by the availability and persistence of pricing arbitrage opportunities available in the FX spot market,” wrote the report’s author, Ernst Schaumburg, a research officer in the New York Fed’s Research and Statistics Group.
Schaumburg noted that little research has been done on the FX markets, the deepest and most liquid markets in the world with average daily volume near $2 trillion. The FX markets...
Login required to continue reading.
Setup a free account to get access to this article (no credit card required).
View Full Article
