TY  - UNPD
A1  - Hautsch, Nikolaus
A1  - Noé, Michael
A1  - Zhang, Shuo Sarah
T1  - The ambivalent role of high-frequency trading in turbulent market periods
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 580
N2  - We show an ambivalent role of high-frequency traders (HFTs) in the Eurex Bund Futures market around high-impact macroeconomic announcements and extreme events. Around macroeconomic announcements, HFTs serve as market makers, post competitive spreads, and earn most of their profits through liquidity supply. Right before the announcement, however, HFTs significantly widen spreads and cause a rapid but short-lived drying-out of liquidity. In turbulent periods, such as after the U.K. Brexit announcement, HFTs shift their focus from market making activities to aggressive (but not necessarily profitable) directional strategies. Then, HFT activity becomes dominant and market quality can degrade.
T3  - CFS working paper series - 580 
KW  - High Frequency Trading
KW  - Market Making
KW  - News Releases
KW  - Futures Market
KW  - Brexit
Y1  - 2017
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/43866
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-438666
UR  - https://ssrn.com/abstract=3020142
IS  - August 16, 2017
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -