O’Hara Maureen. High Frequency Market Microstructure

Unpublished, 2014. — 44 p.Markets are different now, transformed by technology and high frequency trading. In this paper, I investigate the implications of these changes for high frequency market microstructure. I describe the new high frequency world, with a particular focus on how HFT affects the strategies of traders and markets. I discuss some of the gaps that arise when thinking about microstructure research issues in the high frequency world. I suggest that, like everything else in the markets, the research we do must also change to reflect the new realities of the high frequency world. I propose some topics for this new research agenda in high frequency market microstructure.