Hossain, Shahadat - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31
We examine the soundness of high-frequency trading (HFT) proxies that are widely defined on the limit order book (LOB) information. We use a unique TRTH (Thomson Reuters Tick History) millisecond time-stamped intraday trades and quotes dataset enriched with 10 levels of LOB depth messages for...