Study: Quantifying the Affects of High Frequency Trading

High Frequency Trading (HFT) is a big deal. Abel/Noser is out with an interesting study comparing the most liquid domestic securities between June 2010 and June 2007. Here is your Cheat Sheet to the full study which is below courtesy of Abel/Noser:

· High Frequency Trading has increased trades per minute and decreased trade size.

· 13 names were in the top 20 most liquid in both June 2010 and June 2007.

· Average trades per minute are up by 58% in these 13 names vs. 3 years ago.

· Average trade size has fallen 13% from 607 shares to 528 shares, as we observe smaller more frequent trades.

· EEM, IWM and C have climbed in liquidity rank, and are being traded several times more frequently.

· Trades per minute for EEM have gone from 77 to 392.

· More liquidity is concentrated in fewer names.

Liquidity Study – JUNE 2010 vs. JUNE 2007

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