, the author argues that there is a relationship between HFT, increased market volatility, fall in trading activity …

dynamics. Our main goal is to investigate whether high-frequency trading exacerbates market volatility and generates flash … that the presence of high-frequency trading increases market volatility and plays a fundamental role in the generation of …

-post and ex-ante types), of cancellation fees and of transaction taxes on asset price volatility and on the occurrence and … volatility and the frequency of flash crashes. However, these policies also imply a longer duration of flash crashes. Furthermore …, the introduction of an ex-ante circuit breaker markedly reduces price volatility and removes flash crashes. In contrast …

market manipulation, the highest volatility and probability of market crashes, yet the highest liquidity. The so … detect spoofing market manipulation, lower volatility and probability of market crashes, but lower liquidity levels. Finally …

of linear autocorrelation, volatility clustering), trading volumes (volume clustering, correlation between volume and … volatility), and timing of trades (number of price changes, autocorrelation of durations between subsequent trades, heavy tail in …

volatility, but liquidity was reduced; (2) liquidity deterioration affected more the sell than the buy side of the LOB; (3) high …-frequency activity (HFT) diminished during SSR, reinforcing volatility; (4) negative effects on liquidity and HFT diminished and … disappeared as the ban was lifted; (5) HFT unidirectionally Granger causes 1 min realized volatility while the natural logarithm …