HFT activity increases periodic auctions costs
Eightfold jump in market impact as more trades head to once-benign execution format
The cost of trading stocks via periodic auctions has risen since the start of 2022, with some blaming a rush of high frequency trading (HFT) activity for an eightfold jump in price moves generated by the increasingly popular execution type.
Periodic auctions, which match batches of orders at frequent intervals throughout the day, are intended to minimise market impact when trading on lit venues.
A new study by analytics firm big xyt, however, shows the so-called reversion offset for these
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