Dynamics of liquidity on German stock market under the influence of HFT

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F16%3A00091125" target="_blank" >RIV/00216224:14560/16:00091125 - 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

Dynamics of liquidity on German stock market under the influence of HFT

Original language description

Algorithmic trading is the subject of criticism mostly from low frequency traders and long-term institutional investors. Advocates of this trading mechanism claim that it has large positive influence on the market, such as liquidity growth by lowering spreads. This paper is focused on testing the relationship between market liquidity of shares traded on German Stock Exchange and HFT activity. Author proposes own methodology for measuring dynamics in HFT activity. Econometrical methods for panel regression are used to determine these relations. Results of this paper confirm the relevance of the HFT trader's main argument about creating liquidity.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

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OECD FORD branch

50202 - Applied Economics, Econometrics

Project

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Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2016

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

Enterprise and the Competitive Environment

ISBN

9788075093424

ISSN

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e-ISSN

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Number of pages

8

Pages from-to

134-141

Publisher name

Mendel University

Place of publication

Brno

Event location

Brno

Event date

Jan 1, 2016

Type of event by nationality

CST - Celostátní akce

UT code for WoS article

000386948700016