Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2017 - This Version: September 15, 2017
We examine the strategic behavior of High Frequency Traders (HFTs) during the pre-opening phase and the opening auction of the NYSE-Euronext Paris exchange. HFTs actively participate, and profitably extract information from the order flow. They also post "flash crash" orders, to gain time...
