Replication Data: High-Frequency Trading in the Stock Market and the Costs of Options Market Making
Creators:
Mahendrarajah Nimalendran , Khaladdin Rzayev , Satchit Sagade
Publication Date:
20 June 2024
Data Category:
Dataset Description:
This dataset, hosted on Mendeley Data, contains the replication data for the study "High-Frequency Trading in the Stock Market and the Costs of Options Market Making" (Nimalendran, Rzayev & Sagade, 2024, Journal of Financial Economics). It includes high-frequency stock and options market data used to examine how high-frequency trading activity in equity markets affects the costs faced by options market makers, analysing the spillover effects of HFT on derivatives market liquidity.
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