FX bots make fairweather friends…
by Kate Mackenzie at FT Alphaville
BIS is joining the HFT scrutiny party with a paper (PDF) on high frequency trading bots in foreign exchange markets.
It’s a comprehensive study of automated trading in forex, although we’ve already seen several incidents that could be attributed to high volume trades.
Firstly, the volume of forex trade attributable to HFT is difficult to determine; and the authors note there is little empirical data on the effect of these trades on the markets. There is this interesting chart estimating the share of automated trades within total FX turnover, although HFT remains only one automated strategy among many:

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