Aggressive and defensive high-frequency trading and its impact on liquidity of German stock market

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Aggressive and defensive high-frequency trading and its impact on liquidity of German stock market

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 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.

Název v anglickém jazyce

Aggressive and defensive high-frequency trading and its impact on liquidity of German stock market

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 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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

—

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2016

Kód důvěrnosti údajů

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

Název periodika

Acta Universitatis agriculturae et silviculturae Mendelianae Brunensis

ISSN

1211-8516

e-ISSN

—

Svazek periodika

64

Číslo periodika v rámci svazku

6

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

8

Strana od-do

1911-1918

Kód UT WoS článku

—

EID výsledku v databázi Scopus

2-s2.0-85008714402