TY  - UNPD
A1  - Bellia, Mario
A1  - Pelizzon, Loriana
A1  - Subrahmanyam, Marti G.
A1  - Uno, Jun
A1  - Yuferova, Darya
T1  - Low-latency trading and price discovery: evidence from the Tokyo stock exchange in the pre-opening and opening periods
T2  - SAFE working paper series ; No. 144
N2  - We study whether the presence of low-latency traders (including high-frequency traders (HFTs)) in the pre-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening auction. We use a unique dataset from the Tokyo Stock Exchange (TSE) based on server-IDs and find that HFTs dynamically alter their presence in different stocks and on different days. In spite of the lack of immediate execution, about one quarter of HFTs participate in the pre-opening period, and contribute significantly to market quality in the pre-opening period, the opening auction that ensues and the continuous trading period. Their contribution is largely different from that of the other HFTs during the continuous period.
T3  - SAFE working paper - 144 
KW  - High-Frequency Traders (HFTs)
KW  - Pre-Opening
KW  - Opening Call Auction
KW  - Price Discovery
KW  - Liquidity provision
Y1  - 2016
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/41696
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-416969
UR  - https://ssrn.com/abstract=2841242
PB  - SAFE
CY  - Frankfurt am Main
ER  -