July 26, 2012

Who Benefits from Sub-Penny High-Frequency Trading?

Who benefits from sub-penny high-frequency trading?
 
Nanex analyzes sub-penny high-frequency trades from 2006 to 2012 and finds 
The first entry (row 1) tells us that 204 billion shares worth $5.1 trillion executed just $0.0001 away from the nearest cent. The group labeled Investor A benefited in these transactions by a total amount of $20.4 million. This is called retail price improvement. The group labeled Investor B lost at least $2 billion from these transactions. Finally, the group labeled HFT received a benefit of at least $2 billion.

The final results 
HFT                  $5.5 billion profit
Investors A,B    $5.5 billion loss



Tags: who benefits from hft, who benefits from high-frequency trading, nanex analyzes high-frequency trading, high-frequency trader profits, sub-penny trading