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).

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Metadaten
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):License LogoDeutsches Urheberrecht