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Flow Toxicity and Liquidity in a High Frequency World

Easley, David - 2012

-induced volatility …

Persistent link: https://www.econbiz.de/10013115571

High Frequency Trading and Price Jumps in the Stock Market

Moyaert, Thibaut - 2013

In this paper, we investigate liquidity supply and demand around price jumps in a pure order driven stock market using a detailed tick frequency data set on the Euronext 100 index. The advantage of this database is to allow us to disentangle two major evolutions in European financial markets:...

Persistent link: https://www.econbiz.de/10013081602

High Frequency Trading and End-of-Day Price Dislocation

Cumming, Douglas J. - 2013

We show that the presence of high frequency trading (HFT) has significantly mitigated the frequency and severity of end-of-day price dislocation, counter to recent concerns expressed in the media. The effect of HFT is more pronounced on days when end of day price dislocation is more likely to be...

Persistent link: https://www.econbiz.de/10013090219

Where is the Value in High Frequency Trading?

Cartea, Álvaro - 2013

We analyze the impact of high frequency (HF) trading in financial markets based on a model with three types of traders: liquidity traders (LTs), professional traders (PTs), and high frequency traders (HFTs). Our four main findings are: i) The price impact of liquidity trades is higher in the...

Persistent link: https://www.econbiz.de/10013092875

Limit Up Limit Down, Exchange Access Fee and High Frequency Trading Around Price Limits

Lin, Yiping - 2019

hypotheses: trading interference, volatility spillover, delayed price discovery, magnet effects and the role of HFT around the …, volatility levels, and price continuation and reversal activity. For the magnet effect, we test both speed and magnitude when the … find LULD interferes with trading activity, but curbs short term volatility without delaying the price discovery process …

Persistent link: https://www.econbiz.de/10012901250

Do Retail Investors Suffer from High Frequency Traders?

Malinova, Katya - 2018

Using a change in regulatory fees in Canada in April, 2012, that affected predominantly high-frequency market makers (HFMMs), we analyze the causal impact of their activity on trading costs. The message fee caused the number of trades, quotes, and cancellations to drop by 30% driven by a...

Persistent link: https://www.econbiz.de/10012938617

High Frequency Trading and End-of-Day Price Dislocation

Aitken, Michael J. - 2015

We show that the presence of high frequency trading (HFT) has significantly mitigated the frequency and severity of end-of-day price dislocation. The effect of HFT is more pronounced on days when end of day price dislocation is more likely to be the result of market manipulation. Moreover, the...

Persistent link: https://www.econbiz.de/10013021205

The Impact of Tick Size on High Frequency Trading : The Case for Splits

Frino, Alex - 2015

Listed companies and institutional investors have called on market regulators to introduce mechanisms to curb high-frequency (HF) trading in financial markets. In this paper we suggest relative tick size is one such mechanism. We investigate for a non-fragmented market two HF trading proxies:...

Persistent link: https://www.econbiz.de/10013022577

The Impact of High-Frequency Trading on Volatility. Evidence from the Italian Market

Caivano, Valeria - 2015

sometimes non conclusive. This study focuses on the impact of HFT on stock price volatility over the period 2011-2013 for a … HFT activity causes a statistically and economically significant increase in volatility. In details, an increase by one … standard deviation of HFT activity carried out by ‘pure' HFT firms raises volatility by an amount between 0.5 and 0.8 standard …

Persistent link: https://www.econbiz.de/10013027078

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