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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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Low-latency trading and price discovery : evidence from the Tokyo Stock Exchange in the pre-opening and opening periods
Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2016
We study whether the presence of low-latency traders (including high-frequency traders (HFTs)) in the pre-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...
Persistent link: https://www.econbiz.de/10011535566
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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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Intraday price discovery in fragmented markets
Ozturk, Sait; Wel, Michel van der; Dijk, Dick van - 2014
) does not lead the entire day. Spreads, the number of trades and volatility can explain almost half of the intraday …
Persistent link: https://www.econbiz.de/10010250525
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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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Profitability and Market Quality of High Frequency Market-Makers : An Empirical Investigation
Yergeau, Gabriel - 2016
Financial markets in contemporary regulatory settings require the presence of high-frequency liquidity providers. We present an applied study of the profitability and the impact on market quality of an individual high-frequency trader acting as a market-maker. Using a sample of sixty stocks over...
Persistent link: https://www.econbiz.de/10012982141
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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, 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