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

Kód výsledku v 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>

Výsledek na webu

—

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

—

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název statě ve sborníku

European Financial Systems 2014. Proceedings of the 11th International Scientific Conference

ISBN

9788021071537

ISSN

—

e-ISSN

—

Počet stran výsledku

6

Strana od-do

252-257

Název nakladatele

Masarykova Univerzita

Místo vydání

Brno

Místo konání akce

Lednice

Datum konání akce

1. 1. 2014

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000350701500033