Volatility and Valuation with High-frequency Trading
October 18, 2010 - Big Ideas, Fundamental Valuation, Volatility Effects
Does high-frequency trading amplify noise and thereby reduce the signal-to-noise ratio in stock returns? In his August 2010 paper entitled “The Effect of High-Frequency Trading on Stock Volatility and Price Discovery”, Frank Zhang examines the effect of high-frequency trading on stock price volatility and on incorporation of fundamental news into price. He defines high-frequency trading… Keep Reading