Data-driven measures of high-frequency trading

Excerpt

arXiv:2405.08101v4 Announce Type: replace-cross Abstract: Public data do not identify high-frequency trading (HFT), and standard proxies do not separate liquidity-supplying from liquidity-demanding strategies. We overcome this measurement challenge by training machine learning models on proprietary Nasdaq data to map observed HFT activity to public intraday variables. Applying this mapping, we generate daily measures of liquidity-supplying and liquidity-demanding HFT for all U.S. stocks from 201