{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,18]],"date-time":"2026-10-18T16:40:08Z","timestamp":1792341608284,"version":"4.4.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":37,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>&lt;div&gt;\n We develop a new order-level proxy for high-frequency trading (HFT) activity based on precise order placement and study its effects on market quality. With quotes updating multiple times per second, millisecond-level order-book access makes high-frequency traders more likely to submit active exact-match orders\u2014limit orders priced exactly at the prevailing best opposite-side quote. Using Shenzhen Stock Exchange data, we validate the proxy: active exact-match orders respond faster to quote updates, cancel more rapidly, concentrate when depth imbalance is favorable and spreads are narrow, and predict midquote returns from 100 milliseconds through ten minutes. A difference-in-differences design exploiting cross-channel variation in order dissemination latency at the market open shows that lower latency increases active exact-match shares. This variation yields plausibly causal evidence that latency-induced HFT raises short-horizon price variation, wide-spread incidence, and adverse-selection exposure, while realized spreads decline and pricing error falls modestly. Unlike developed markets, China's T+1 constraint, absence of maker-taker rebates, and limits on rapid quote revision tilt speed advantages toward directional liquidity taking, highlighting how market design shapes the channel through which speed affects market quality.\n&lt;\/div&gt;<\/jats:p>","DOI":"10.2139\/ssrn.7599578","type":"posted-content","created":{"date-parts":[[2026,10,12]],"date-time":"2026-10-12T08:28:43Z","timestamp":1791793723000},"source":"Crossref","is-referenced-by-count":0,"title":["Tracking High-Frequency Trading Activity in China and Its Effects on Market Quality"],"prefix":"10.2139","author":[{"given":"Li","family":"Guo","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-7906-6680","authenticated-orcid":true,"given":"Frank Weikai","family":"Li","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0009-0004-2708-3210","authenticated-orcid":true,"given":"Ding","family":"Qi","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Lijian","family":"Sun","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"key":"ref1","doi-asserted-by":"crossref","first-page":"7792","DOI":"10.1287\/mnsc.2022.02435","article-title":"How and When Are High-Frequency Stock Returns Predictable?","volume":"72","author":"Y Ait-Sahalia","year":"2026","journal-title":"Management Science"},{"key":"ref2","first-page":"459","volume":"30","author":"A Anand","year":"2026","journal-title":"Retail Limit Orders. 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