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High-frequency trading in the Bund futures market
Schlepper, Kathi - 2016
In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures … price discovery compared to Non-HFTs, but also add a higher share to noise than to permanent volatility. Moreover, I find … evidence that HFTs tend to supply less liquidity after an unexpected rise in market volatility and prior to upcoming …
Persistent link: https://www.econbiz.de/10011483067
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Interactions among high-frequency traders
Benos, Evangelos; Brugler, James; Hjalmarsson, … - Bank of England - 2015
Using unique transactions data for individual high-frequency trading (HFT) firms in the UK equity market, we examine if the trading activity of individual HFT firms is contemporaneously and dynamically correlated with each other, and what impact this has on price efficiency. We find that HFT...
Persistent link: https://www.econbiz.de/10011185232
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Judgement day : algorithmic trading around the Swiss franc cap removal
Breedon, Francis J.; Chen, Louisa; Ranaldo, Angelo; … - 2018
that algorithmic traders withdrew liquidity and generated uninformative volatility in Swiss franc currency pairs, while …
Persistent link: https://www.econbiz.de/10011906367
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High-frequency trading behaviour and its impact on market quality: evidence from the UK equity market
Benos, Evangelos; Sagade, Satchit - Bank of England - 2012
liquidity, price discovery and excess volatility. For that, we use a unique transactions data set for four UK stocks, over the … market quality. We find that both higher price volatility and lower spreads cause HFT activity to increase. We suggest a … on price discovery (ie information-based volatility) and noise (ie excess volatility). We find that while HFTs have a …
Persistent link: https://www.econbiz.de/10008837899
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False news, informational efficiency, and price reversals
Dugast, Jérôme; Foucault, Thierry - 2015
Information processing filters out the noise in data but it takes time. Hence, low precision signals are available before high precision signals. We analyze how this feature affects asset price informativeness when investors can acquire signals of increasing precision over time about the payoff...
Persistent link: https://www.econbiz.de/10010499565
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High-Frequency Trading, Stock Volatility, and Price Discovery
Zhang, Frank - 2010
trading volume. This study examines the implication of high-frequency trading for stock price volatility and price discovery …. I find that high-frequency trading is positively correlated with stock price volatility after controlling for firm … fundamental volatility and other exogenous determinants of volatility. The positive correlation is stronger among the top 3 …
Persistent link: https://www.econbiz.de/10013137079
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Liquidity Suppliers and High Frequency Trading
Jarrow, Robert A. - 2013
This paper provides a mathematical analysis of how high frequency traders profi t from their speed with respect to the limit order book. We show that their pro ts can be decomposed into two components. The rest is due to their ability to execute market orders at limit order prices and without...
Persistent link: https://www.econbiz.de/10013071783
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Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets
Ledenyov, Dimitri - 2015
The accurate forecast of the foreign currencies exchange rates at the ultra high frequency electronic trading in the foreign currencies exchange markets is a main topic of our research: 1) the present state of the foreign currencies exchange markets in Asia, Europe and North America; 2) the...
Persistent link: https://www.econbiz.de/10013013057
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High-Frequency Trading in the Bund Futures Market
Schlepper, Kathi - 2016
In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures … price discovery compared to Non-HFTs, but also add a higher share to noise than to permanent volatility. Moreover, I find … evidence that HFTs tend to supply less liquidity after an unexpected rise in market volatility and prior to upcoming …
Persistent link: https://www.econbiz.de/10012988629
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High-Frequency Trading in the U.S. Treasury Market Around Macroeconomic News Announcements
Jiang, George J. - 2018
This paper investigates high-frequency (HF) trading in the U.S. Treasury market around macroeconomic news announcements. After identifying HF market and limit orders based on the speed of their placement alteration and cancellation deemed beyond manual ability, we use the introduction of the...
Persistent link: https://www.econbiz.de/10012912840