Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2017 - This version: April 2017
-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening auction. We use a … unique dataset from the Tokyo Stock Exchange (TSE) based on server-IDs and find that HFTs dynamically alter their presence in … the pre-opening period, and contribute signifi- cantly to market quality in the pre-opening period, the opening auction …