Liquidity of the European stock markets under the influence of HFT

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F15%3A00084080" target="_blank" >RIV/00216224:14560/15:00084080 - isvavai.cz</a>

Výsledek na webu

<a href="http://dx.doi.org/10.1016/S2212-5671(15)00867-9" target="_blank" >http://dx.doi.org/10.1016/S2212-5671(15)00867-9</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/S2212-5671(15)00867-9" target="_blank" >10.1016/S2212-5671(15)00867-9</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Liquidity of the European stock markets under the influence of HFT

Popis výsledku v původním jazyce

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 mostly low frequency traders and long-term institutional investors. This is mostly 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 futures traded on EUREX Exchange and HFT activity on European derivative markets. Econometrical methods for time series analysis are used to determine these relations. Resultsof this paper will reveal the relevance of the HFT trader's main argument about creating liquidity and hence reducing of all the market risks related with high spreads and low number of limit orders.

Název v anglickém jazyce

Liquidity of the European stock markets under the influence of HFT

Popis výsledku anglicky

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 mostly low frequency traders and long-term institutional investors. This is mostly 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 futures traded on EUREX Exchange and HFT activity on European derivative markets. Econometrical methods for time series analysis are used to determine these relations. Resultsof this paper will reveal the relevance of the HFT trader's main argument about creating liquidity and hence reducing of all the market risks related with high spreads and low number of limit orders.

Druh

D - Stať ve sborníku

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

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Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název statě ve sborníku

Procedia Economics and Finance

ISBN

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ISSN

2212-5671

e-ISSN

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Počet stran výsledku

7

Strana od-do

375-381

Název nakladatele

ELSEVIER SCIENCE BV

Místo vydání

AMSTERDAM

Místo konání akce

AMSTERDAM

Datum konání akce

1. 1. 2015

Typ akce podle státní příslušnosti

CST - Celostátní akce

Kód UT WoS článku

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