Aggressive and defensive high-frequency trading and its impact on liquidity of German stock market
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F16%3A00091124" target="_blank" >RIV/00216224:14560/16:00091124 - isvavai.cz</a>
Result on the web
<a href="https://acta.mendelu.cz/64/6/1911/" target="_blank" >https://acta.mendelu.cz/64/6/1911/</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.11118/actaun201664061911" target="_blank" >10.11118/actaun201664061911</a>
Alternative languages
Result language
angličtina
Original language name
Aggressive and defensive high-frequency trading and its impact on liquidity of German stock market
Original language description
Algorithmic trading and especially high frequency trading is the concern of the current research studies as well as legislative authorities. It is also the subject of criticism mostly from low frequency traders and long-term institutional investors. This is due to several cases of market manipulation and flash crashes in the previous years. Advocates of this trading mechanism claim that it has large positive influence on the market, such as liquidity growth by lowering spreads and others. This paper is focused on testing the relationship between market liquidity of shares traded on Frankfurt Stock Exchange and HFT activity on European stock markets. Author proposes own methodology for measuring dynamics in HFT activity, without knowledge of original market messages. Liquidity is measured by various from of price spreads. Econometrical methods for panel regression are used to determine these relations.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AE - Management, administration and clerical work
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Acta Universitatis agriculturae et silviculturae Mendelianae Brunensis
ISSN
1211-8516
e-ISSN
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Volume of the periodical
64
Issue of the periodical within the volume
6
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
8
Pages from-to
1911-1918
UT code for WoS article
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EID of the result in the Scopus database
2-s2.0-85008714402