TY  - UNPD
A1  - Bellia, Mario
A1  - Pelizzon, Loriana
A1  - Subrahmanyam, Marti G.
A1  - Uno, Jun
A1  - Yuferova, Darya
T1  - Coming early to the party
T2  - SAFE working paper series ; No. 182
N2  - 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).
T3  - SAFE working paper - 182 
KW  - High-Frequency Traders (HFTs)
KW  - Proprietary Trading
KW  - Opening Auction
KW  - Liquidity Provision
KW  - Price Discovery
Y1  - 2017
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/43874
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-438747
UR  - https://ssrn.com/abstract=3038699
N1  - Appendix unter ID 43750
IS  - September 15, 2017
PB  - SAFE
CY  - Frankfurt am Main
ER  -