کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5100702 | 1478934 | 2016 | 46 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Does high-frequency trading increase systemic risk?
ترجمه فارسی عنوان
آیا معاملات فرکانس بالا باعث افزایش خطر سیستمیک می شود؟
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
In 2010, the Tokyo Stock Exchange, the largest stock exchange headquartered outside of the United States, introduced a new trading platform, Arrowhead. This platform reduced latency and increased co-located, high-frequency quoting and trading (HFQ) from zero to 36% of trading volume. During tail events representing extreme market conditions, low-latency correlated HFQ may lead to systemic risks such as flash crashes, which has not been sufficiently addressed in the literature. In this paper, our study provides a framework to assess whether HFQ increases systemic risks and points to the need for incorporating correlations and CoVaR methods in regulating these risks through circuit breakers and other regulations.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 31, November 2016, Pages 1-24
Journal: Journal of Financial Markets - Volume 31, November 2016, Pages 1-24
نویسندگان
Pankaj K. Jain, Pawan Jain, Thomas H. McInish,