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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

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

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

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

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

Does Algorithmic Trading Deter Information Acquisition?

Weller, Brian - 2018

Abstract I demonstrate an important tension between acquiring information and incorporating it into asset prices. As a salient case, I analyze the rise of algorithmic trading (AT), which is typically associated with improved price efficiency. Using a new measure of the information content of...

Persistent link: https://www.econbiz.de/10012936927

Quote Stuffing

Egginton, Jared F. - 2016

increased short-term volatility during periods of intense quoting activity. We find that most quote-stuffing events occur on the …

Persistent link: https://www.econbiz.de/10013008418

Interactions Among High-Frequency Traders

Benos, Evangelos - 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/10013027471

High-Frequency Trading and its Impact on Market Liquidity : A Review of Literature

Ersan, Oguz; Dalgic, Nihan; Ekinci, Cumhur; Bodur, Mehmet - 2021

High-frequency trading (HFT) has been dominating the activity in developed financial markets in the last two decades. Despite its recent formation, the literature on the impacts of HFT on financial markets and participants is broad. However, there are ongoing debates and unanswered questions...

Persistent link: https://www.econbiz.de/10013244236

High frequency trading and fragility

Cespa, Giovanni; Vives, Xavier - 2017

We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions: traders demand more liquidity...

Persistent link: https://www.econbiz.de/10011637013