کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7356777 | 1478290 | 2017 | 35 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Human vs. high-frequency traders, penny jumping, and tick size
ترجمه فارسی عنوان
معامله گران انسانی با فرکانس بالا، پریدن پنی و اندازه قلم
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper examines changes in market quality resulting from the smaller tick size of the interbank foreign exchange market. Coupled with the lower tick size, the special composition of traders and their order placement strategies created a suitable environment for high-frequency traders (HFT's) to implement sub-penny jumping strategy to front-run human traders. We show that the spread declined following the introduction of decimal pip pricing. However, benefits of spread reduction were mostly absorbed by the HFT's. Market depths were also significantly reduced with the occupation of the top of the order book by HFT's. This new environment changed the market maker-market taker composition between different traders and altered price impacts of the order flows.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 85, December 2017, Pages 69-82
Journal: Journal of Banking & Finance - Volume 85, December 2017, Pages 69-82
نویسندگان
Soheil Mahmoodzadeh, Ramazan Gençay,