Coming early to the party
- We examine the strategic behavior of High Frequency Traders (HFTs) during the pre-opening phase and the opening auction of the NYSE-Euronext Paris exchange. HFTs actively participate, and profitably extract information from the order flow. They also post "flash crash" orders, to gain time priority. They make profits on their last-second orders; however, so do others, suggesting that there is no speed advantage. HFTs lead price discovery, and neither harm nor improve liquidity. They "come early to the party", and enjoy it (make profits); however, they also help others enjoy the party (improve market quality) and do not have privileges (their speed advantage is not crucial).
| Author: | Mario BelliaORCiDGND, Loriana PelizzonORCiDGND, Marti G. SubrahmanyamORCiDGND, Jun Uno, Darya YuferovaORCiD |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-438747 |
| URL: | https://ssrn.com/abstract=3038699 |
| Parent Title (English): | SAFE working paper series ; No. 182 |
| Series (Serial Number): | SAFE working paper (182) |
| Publisher: | SAFE |
| Place of publication: | Frankfurt am Main |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2017 |
| Year of first Publication: | 2017 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2017/10/17 |
| Tag: | High-Frequency Traders (HFTs); Liquidity Provision; Opening Auction; Price Discovery; Proprietary Trading |
| Issue: | September 15, 2017 |
| Page Number: | 65 |
| Note: | Appendix unter ID 43750 |
| HeBIS-PPN: | 419184996 |
| Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
| Wissenschaftliche Zentren und koordinierte Programme / House of Finance (HoF) | |
| Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
| Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE) | |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Deutsches Urheberrecht |
