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.

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Metadaten
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:Universit├Ątsbibliothek 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:Universit├Ątspublikationen
Licence (German):License LogoDeutsches Urheberrecht