Eintrag weiter verarbeiten
Competition among high-frequency traders, and market quality
Gespeichert in:
| Personen und Körperschaften: | |
|---|---|
| Titel: | Competition among high-frequency traders, and market quality/ Johannes Breckenfelder |
| Format: | E-Book |
| Sprache: | Englisch |
| veröffentlicht: |
Frankfurt am Main, Germany
European Central Bank
[2019]
|
| Gesamtaufnahme: |
Europäische Zentralbank: Working paper series ; no 2290 (June 2019)
|
| Quelle: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
| Zusammenfassung: | We study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. Our analysis exploits a unique dataset, which allows us to compare environments with and without high-frequency competition, and contains an exogenous event - a tick size reform - which we use to disentangle the effects of the rising share of high-frequency trading in the market from the effects of high-frequency competition. We find that when HFTs compete, their speculative trading increases. As a result, market liquidity deteriorates and short-term volatility rises. Our findings hold for a variety of market quality and high-frequency trading behavior measures. |
|---|---|
| Umfang: | 1 Online-Ressource (circa 56 Seiten); Illustrationen |
| ISBN: |
9789289935524
9289935529 |
| DOI: | 10.2866/232815 |