High-Frequency Trading and Price Volatility in the Paris Euronext Stock Market

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F16%3A00091076" target="_blank" >RIV/00216224:14560/16:00091076 - 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
High-Frequency Trading and Price Volatility in the Paris Euronext Stock Market
Original language description
Algorithmic trading has become the crucial part of security trading on world equity markets influencing many of its characteristics. In this paper, we consider the effects of high frequency trading on the short term volatility. The aim of the paper is to analyze the relationship between high frequency trading (HFT) and spot volatility in high frequency as well as low frequency data from the French stock market. We employ GMM, GARCH and Markov switching models to estimate the relationship between changes in stock returns and changes in the activities of high frequency traders. We propose our own methodology to proxy changes in the activity of algorithmic traders. We also address the problem of optimal sampling to avoid possible biases in our empirical findings, since high frequency data contain a disruptive volatility component (market microstructure noise), by incorporating Bundi-Russell (2008) test and test of Lagrangian multipliers.
Czech name
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Czech description
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Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
European Financial Systems 2016. Proceedings of the 13th International Scientific Conference
ISBN
9788021083080
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
249-255
Publisher name
Masaryk University
Place of publication
Brno
Event location
Brno
Event date
Jan 1, 2016
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000385692200032

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