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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

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

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

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

High Frequency Trading and Fragility

Cespa, Giovanni - 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/10012963014

High Frequency Trading and Fragility

Cespa, Giovanni - 2017

Persistent link: https://www.econbiz.de/10012956200

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

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

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

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