Impact of High Frequency Trading on Volatilities of Securities on German Market

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F14%3A00077127" target="_blank" >RIV/00216224:14560/14:00077127 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Impact of High Frequency Trading on Volatilities of Securities on German Market
Original language description
Algorithmic trading has become the crucial part of trading on world equity markets. Almost every big stock exchange undertook process of hybridization and allowed automated order submission. This led to many manipulative strategies which could have impact on market volatility. This paper is focused on these strategies and their impact on volatility. Furthermore, the reduction of the volatility is tested as a result of implemented regulations. Econometrical methods are used to determine relationship between high-frequency trading activity and volatility of chosen securities. Their selection is based on volume of trading, number of trades and especially number of orders and cancelled orders, which are the main indicator of manipulation activity. Explained variable in the models is the implied volatility of securities and explaining variables are derived from trading activity and dummy variables of events of hybridization and regulation of markets.
Czech name
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Czech description
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Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
European Financial Systems 2014. Proceedings of the 11th International Scientific Conference
ISBN
9788021071537
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
252-257
Publisher name
Masarykova Univerzita
Place of publication
Brno
Event location
Lednice
Event date
Jan 1, 2014
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000350701500033

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