We investigate the trading behavior of high frequency trading (HFT), the impact of HFT on market quality, its role in the price discovery process, and its profitability, using a very detailed data set of the KOSPI 200 index futures market. We find that high frequency traders (HFTs) do not...

Define the number of buy-sell “switching points” as the number of times that individual traders change the direction of their trading. Based on the hypothesis that switching points take place in business time, market microstructure invariance predicts that the aggregate number of switching...

We conducted a comprehensive analysis on the sequential introductions of dynamic and static volatility interruptions (VIs) in the Korean stock markets. The Korea Exchange introduced VIs to improve price formation, and to limit risk to investors from brief periods of abnormal volatility for...

[enter Abstract Body]We conduct a comprehensive analysis on the sequential introductions of dynamic and static volatility interruptions (VIs) in the Korean stock markets. The Korea Exchange introduced VIs to improve price formation, and to limit risk to investors from brief periods of abnormal...