Mastering Microstructure: Unpacking Spread Capture Strategies in High-Frequency Trading
The Imperative of Precision: Navigating Micro-Profits in Hyper-Efficient Markets For many institutional and retail traders, the quest for consistent alpha in increasingly efficient and liquid markets presents a formidable challenge. The bid-ask spread, often perceived as a mere transaction cost, represents a fundamental friction point within market microstructure. High-frequency trading (HFT) firms, however, view this […]