High-Frequency Trading and Its Role in Fragmented Markets

In this study, conducted by Martin Haferkorn of the Goethe University in Frankfurt, the researchers looked into the effect HFT had on price dispersion in fragmented markets. For this, they compared long term blue chip data from Euronext Paris, Deutsche Boerse and BATS-CHi-X to measure the effect of investments made in IT infrastructure (HFT trading).

The conclusion is that HFT increases market efficiency and that the introduction of the German HFT act increased price dispersion between BATS-Chi-X and Deutsche Boerse in blue chip stocks

Read the full study here