The emergence of High-Frequency Trading (HFT) has met with mixed reactions in both investment and academic communities. However, there still... Show moreThe emergence of High-Frequency Trading (HFT) has met with mixed reactions in both investment and academic communities. However, there still exist gaps on distinguishing and interpreting the impact of HFT on the Low-Frequency Trading (LFT) side. In this thesis, I present three chapters that address the impact of HFT to LFT. I find evidence to distinguish trading generated by HFT in the limit order market, and consequently apply to explore how HFT affects LFT in terms of the liquidity and the order execution quality. In addition, I further explore the fleeting orders generated by HFT and their impact on the liquidity of LFT. Ph.D. in Management Science, July 2015 Show less
