The relatively recent phenomenon of high-frequency trading has had a profound impact on the micro-structure of financial markets. Several authors hailed it as a provider of liquidity and a mechanism for controlling volatility, two highly welcome features, especially beneficial to retail traders, whereas other authors view the situation generated by algorithmic trading as damaging for both small and institutional traders, and the orderly functioning of the markets. This paper analyzes the impact of high-frequency trading in respect of the main parameters affecting market quality: volatility, transaction costs, liquidity, price discovery, penalization of slower traders, and impact on sudden financial crises, the notorious flash crashes. As often happens within the financial community, different views stand to each other and no conclusive agreement on the value of most parameters has been reached as yet. A section on the apparently falling profits of high-frequency traders, as denounced in recent times, completes the review.

中文翻译：

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高频交易：文献综述

最近出现的高频交易现象对金融市场的微观结构产生了深远的影响。几位作者称赞它是流动性的提供者和控制波动的机制，这是两个非常受欢迎的功能，特别有利于散户，而其他作者则认为算法交易产生的情况对小型和机构交易者都是有害的，并且有序运作的市场。本文分析了高频交易对影响市场质量的主要参数的影响：波动性、交易成本、流动性、价格发现、对较慢交易者的惩罚，以及对突发金融危机的影响，臭名昭著的闪电崩盘。正如金融界经常发生的那样，各方观点不一，目前尚未就大多数参数的值达成最终一致意见。最近谴责的高频交易者利润明显下降的部分完成了审查。