کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5088541 1478316 2015 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
High frequency trading and end-of-day price dislocation
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
High frequency trading and end-of-day price dislocation
چکیده انگلیسی

We show that the presence of high frequency trading (HFT) has significantly mitigated the frequency and severity of end-of-day price dislocation. The effect of HFT is more pronounced on days when end of day price dislocation is more likely to be the result of market manipulation. Moreover, the effect of HFT is more pronounced than the role of trading rules, surveillance, enforcement and legal conditions in curtailing the frequency and severity of end-of-day price dislocation. We show our findings are robust to different proxies of the start of HFT by trade size, cancellation of orders, and co-location.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 59, October 2015, Pages 330-349
نویسندگان
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