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Zero-Commission Individual Investors, High Frequency Traders, and Stock Market Quality
Eaton, Gregory W.; Green, T. Clifton; Roseman, Brian; … - 2021
return volatility among stocks favored by Robinhood investors, as proxied by Reddit WallStreetBets mentions. HFTs with …
Persistent link: https://www.econbiz.de/10013233565
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High Frequency Trading and Market Quality in the Thai Stock Exchange
Chancharat, Surachai; Phuensane, Pongsutti - 2021
This research is based on an empirical analysis of the impact of HFT activity on the stock in the SET50 index trading in the Stock Exchange of Thailand (SET), using publicly-available trade-by-trade tick data for the period between January 01, 2016, and June 30, 2018. The HFT data is illustrated...
Persistent link: https://www.econbiz.de/10013239413
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High Frequency Trading : Una Panoramica (High Frequency Trading: An Overview)
Puorro, Alfonso - 2015
Nel seguente lavoro si propone un'analisi dei sistemi di trading ad alta frequenza (Hft); il fenomeno ha avuto origine e si è sviluppato sul mercato azionario statunitense, ma, nel corso degli ultimi anni si sta progressivamente espandendo alla maggioranza delle asset class sui principali...
Persistent link: https://www.econbiz.de/10013034536
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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.; … - 2017 - This version: April 2017
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/10012061992
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High-frequency jump analysis of the bitcoin market
Scaillet, Olivier; Treccani, Adrien; Trevisan, Christopher - 2017
We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November 2013. This gives us a rare opportunity to study an emerging retail-focused, highly speculative and unregulated market with trader identifiers at a tick transaction level. Jumps...
Persistent link: https://www.econbiz.de/10011762219
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A model of price impact and market maker latency
Rojček, Jakub - 2016 - Preliminary draft
Price impact measures the difference between the best quoted price and the realized price as a function of order size. This paper analyzes how price impact depends on the latency that a market maker is subject to. I propose a tractable model which allows incorporating both order size and latency...
Persistent link: https://www.econbiz.de/10011619231
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Fat-Finger Trade and Market Quality : The First Evidence from China
Gao, Ming - 2019
More trading is algorithmic or computer generated, and in markets where it is allowed, high frequency. However, what happens when there is an algorithmic trading error? This study attempts to answer that question by examining the August 16, 2013, fat‐finger trade in Chinese equity and equity...
Persistent link: https://www.econbiz.de/10012863767
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Does Market Transparency Matter? A Case Study
Scalia, Antonio - 2011
volatility, a phenomenon that is also partly explained by the growth in Italy's prospects for early participation in the EMU. The …
Persistent link: https://www.econbiz.de/10013127552
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Investigation of the Greek stock exchange volatility and the impact of foreign markets from 2007 to 2012
Sariannidis, Nikolaos; Papadopoulou, Polyxeni; … - In: International journal of business and economic sciences … 8 (2015) 2, pp. 55-68
volatility. The research also examines the impact of powerful foreign capital markets on the Greek Stock Exchange market, the … seasonality returns (Day-of-the-Week effect) and the volatility structure. Design/methodology/approach - The analysis of data is …-GARCH model demonstrate that the debt crisis and, therefore, its consequences increase the FTSE / ASE 20 index volatility and the …
Persistent link: https://www.econbiz.de/10011433994
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Volatility impact of stock index futures trading : a revised analysis
Matanovic, Eva; Wagner, Helmut - In: Journal of applied finance & banking 2 (2012) 5, pp. 113-126
volatility impact of DAX futures trading. Our results confirm a volatility-reducing impact of DAX futures trading, whereas the … stability ; financial market volatility ; GARCH ; stock index futures ; derivatives …
Persistent link: https://www.econbiz.de/10009673721