TY  - UNPD
A1  - Aitken, Michael
A1  - Cumming, Douglas J.
A1  - Zhan, Feng
T1  - High frequency trading and end-of-day price dislocation : [Version 28 Oktober 2013]
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2002,16
N2  - 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 the result of market manipulation on days of option expiry dates and end of month. Moreover, the effect of HFT is more pronounced than the role of trading rules, surveillance, enforcement and legal conditions in curtailing the frequency and severity of end-of-day price dislocation. We show our findings are robust to different proxies of the start of HFT by trade size, cancellation of orders, and co-location.
T3  - CFS working paper series - 2013, 16 
KW  - high frequency trading
KW  - end-of-day price dislocation
KW  - manipulation
KW  - trading rules
KW  - surveillance
KW  - law and finance
Y1  - 2013
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/32493
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-324935
N1  - First draft: 30 March 2012 ; This Draft: 28 October 2013
IS  - Version 28 Oktober 2013
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -