High frequency trading and end-of-day price dislocation : [Version 28 Oktober 2013]
- 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.
Author: | Michael Aitken, Douglas J. CummingORCiDGND, Feng Zhan |
---|---|
URN: | urn:nbn:de:hebis:30:3-324935 |
Parent Title (German): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2002,16 |
Series (Serial Number): | CFS working paper series (2013, 16) |
Publisher: | Center for Financial Studies |
Place of publication: | Frankfurt, M. |
Document Type: | Working Paper |
Language: | English |
Year of Completion: | 2013 |
Date of first Publication: | 2013/10/28 |
Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Release Date: | 2013/12/16 |
Tag: | end-of-day price dislocation; high frequency trading; law and finance; manipulation; surveillance; trading rules |
Issue: | Version 28 Oktober 2013 |
Note: | First draft: 30 March 2012 ; This Draft: 28 October 2013 |
HeBIS-PPN: | 349959366 |
Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
Sammlungen: | Universitätspublikationen |
Licence (German): | Deutsches Urheberrecht |