scholarly journals Interactions among High-Frequency Traders

2017 ◽  
Vol 52 (4) ◽  
pp. 1375-1402 ◽  
Author(s):  
Evangelos Benos ◽  
James Brugler ◽  
Erik Hjalmarsson ◽  
Filip Zikes
Keyword(s):  
High Frequency ◽  
Comparison Group ◽  
Equity Market ◽  
Price Impact ◽  
Investment Banks ◽  
Order Flow ◽  
Trading Activity ◽  
Price Efficiency ◽  
Price Pressure ◽  
The Impact

Using unique transactions data for individual high-frequency trading (HFT) firms in the U.K. equity market, we examine the extent to which the trading activity of individual HFT firms is correlated with each other and the impact on price efficiency. We find that HFT order flow, net positions, and total volume exhibit significantly higher commonality than those of a comparison group of investment banks. However, intraday HFT order flow commonality is associated with a permanent price impact, suggesting that commonality in HFT activity is information based and so does not generally contribute to undue price pressure and price dislocations.

scholarly journals EXPRESS: Measuring the real-time stock market impact of firm-generated content

2021 ◽  
pp. 002224292110428
Author(s):  
Ewelina Lacka ◽  
D. Eric Boyd ◽  
Gbenga Ibikunle ◽  
P.K. Kannan
Keyword(s):  
Subject Matter ◽  
High Frequency ◽  
Stock Price ◽  
Price Impact ◽  
Negative Valence ◽  
Price Impacts ◽  
Competitor Orientation ◽  
Frequency Changes ◽  
The Impact

Firms increasingly follow an ‘always on’ philosophy, producing multiple pieces of firm-generated content (FGC) throughout the day. Current methodologies used in marketing are unsuited to unbiasedly capturing the impact of FGC disseminated intermittently throughout the day in stock markets characterized by ultra-high frequency trading. They also neither distinguish between the permanent (i.e. long-term) and temporary (i.e. short-term) price impacts nor identify FGC attributes capable of generating these price impacts. In this study, the authors define price impact as the impact on the variance of stock price. Employing a market microstructure approach to exploit the variance of high frequency changes in stock price the authors estimate the permanent and temporary price impacts of the firm-generated Twitter content of S&P 500 IT firms. The authors find that firm-generated tweets induce both permanent and temporary price impacts, which are linked to tweet attributes; valence and subject matter. Tweets reflecting only valence or subject matter concerning consumer or competitor orientation result in temporary price impacts, while those embodying both attributes generate permanent price impact; negative valence tweets about competitors generate the largest permanent price impacts. Building on these findings, the authors offer suggestions to marketing managers on the design of intraday FGC.

scholarly journals Where is the Value in High Frequency Trading?

2012 ◽  
Vol 02 (03) ◽  
pp. 1250014 ◽  
Author(s):  
Álvaro Cartea ◽  
José Penalva
Keyword(s):  
Financial Markets ◽  
High Frequency ◽  
Market Price ◽  
Price Impact ◽  
High Frequency Trading ◽  
Microstructure Noise ◽  
Noise Trading ◽  
Surplus Extraction ◽  
The Impact ◽  
Professional Traders

We analyze the impact of high frequency (HF) trading in financial markets based on a model with three types of traders: liquidity traders (LTs), professional traders (PTs), and high frequency traders (HFTs). Our four main findings are: (i) The price impact of liquidity trades is higher in the presence of the HFTs and is increasing with the size of the trade. In particular, we show that HFTs reduce (increase) the prices that LTs receive when selling (buying) their equity holdings. (ii) Although PTs lose revenue in every trade intermediated by HFTs, they are compensated with a higher liquidity discount in the market price. (iii) HF trading increases the microstructure noise of prices. (iv) The volume of trades increases as the HFTs intermediate trades between the LTs and PTs. This additional volume is a consequence of trades which are carefully tailored for surplus extraction and are neither driven by fundamentals nor is it noise trading. In equilibrium, HF trading and PTs coexist as competition drives down the profits for new HFTs while the presence of HFTs does not drive out traditional PTs.

Are High-Frequency Traders Anticipating the Order Flow? Cross-Venue Evidence from the UK Market

2016 ◽  
Vol 02 (03n04) ◽  
pp. 1750005
Author(s):  
Matteo Aquilina ◽  
Carla Ysusi
Keyword(s):  
High Frequency ◽  
Equity Market ◽  
Minimal Risk ◽  
Order Flow ◽  
The Uk ◽  
Flow Cross

There have been allegations that high-frequency traders prey on other participants making profits taking no or minimal risk in the process by predicting with near certainty where orders will be routed. We investigate whether there is evidence of this happening systematically in the UK equity market. We examine whether high-frequency traders exploit their milliseconds latency advantages to anticipate orders arriving in quick succession at different trading venues. We also analyze whether they can anticipate the order flow over longer timeframes. We do not find evidence that the first behavior is occurring systematically in UK markets. We find patterns consistent with the later but we cannot say whether this is due to them reacting faster to information.

Аpplying of high-frequency monopolar diathermocoagulation in the treatment of chronic pulpitis

2020 ◽  
Vol 1 (12) ◽  
pp. 40-42
Author(s):  
F. Yu. Daurova ◽  
D. I. Tomaeva ◽  
S. V. Podkopaeva ◽  
Yu. A. Taptun
Keyword(s):  
Root Canal ◽  
High Frequency ◽  
Antibacterial Effect ◽  
Comparison Group ◽  
Poor Quality ◽  
Endodontic Treatment ◽  
Root Canals ◽  
The Third ◽  
Before And After

Relevance: the reason for the development of complications in endodontic treatment is poor-quality instrumental treatment root canals.Aims: a study of the animicrobial action and clinical efficacy of high-frequency monopolar diathermocoagulation in the treatment of chronic forms of pulpitis.Materials and methods: 102 patients with various chronic forms of pulpitis were divided into three groups of 34 patients each. In the first two groups, high-frequency monopolar diathermocoagulation was used in endodontic treatment in different modes. In the third group, endodontic treatment was carried out without the use of diathermocoagulation (comparison group). The root canal microflora in chronic pulpitis in vivo was studied twice-before and after diathermocoagulation.Results: it was established that high-frequency monopolar diathermocoagulation in the effect mode is 3, power is 4 (4.1 W) and effect is 4, power is 4 (5.4 W) with an exposure time of 3 seconds, it has a pronounced antibacterial effect on all presented pathogenic microflora obtained from the root canals of the teeth.

Assessment of the impact of factors of the working environment on the health of workers in oil refining based on the analysis of morbidity

2020 ◽  
pp. 600-600 ◽  
Author(s):  
I. V. Ginko ◽  
T. M. Sushinskaya ◽  
A. L. Rybina
Keyword(s):  
Comparison Group ◽  
Main Group ◽  
Working Environment ◽  
Oil Refinery ◽  
Oil Refining ◽  
Production Environment ◽  
The Impact

Studies have been conducted to assess the impact of factors of the production environment on employees of the oil refinery ofJSC «Naftan». Significant differences with the comparison group on the indicators of SVT were revealed. Priority nosological forms of employees of the main group are identified.

Global Algorithmic Capital Markets

2018 ◽  
Keyword(s):  
Public Policy ◽  
Capital Markets ◽  
Systemic Risk ◽  
High Frequency ◽  
Investor Protection ◽  
High Frequency Trading ◽  
Market Making ◽  
Market Governance ◽  
Policy Objectives ◽  
The Impact

This book illustrates and assesses the dramatic recent transformations in capital markets worldwide and the impact of those transformations. ‘Market making’ by humans in centralized markets has been replaced by supercomputers and algorithmic high frequency trading operating in often highly fragmented markets. How do recent market changes impact on core public policy objectives such as investor protection, reduction of systemic risk, fairness, efficiency, and transparency in markets? The operation and health of capital markets affect all of us and have profound implications for equality and justice in society. This unique set of chapters by leading scholars, industry insiders, and regulators sheds light on these and related questions and discusses ways to strengthen market governance for the benefit of society at large.

scholarly journals Crisis Management in Higher Education in the Time of Covid-19: The Case of Actor Training

2021 ◽  
Vol 11 (3) ◽  
pp. 132
Author(s):  
Anna McNamara
Keyword(s):  
Higher Education ◽  
Crisis Management ◽  
High Frequency ◽  
High Reliability ◽  
Actor Training ◽  
Management Actions ◽  
The Usa ◽  
The Uk ◽  
The Impact ◽  
High Frequency Words

The impact of Covid-19 placed Higher Education leadership in a state of crisis management, where decision making had to be swift and impactful. This research draws on ethea of mindfulness, actor training techniques, referencing high-reliability organisations (HRO). Interviews conducted by the author with three leaders of actor training conservatoires in Higher Education institutions in Australia, the UK and the USA reflect on crisis management actions taken in response to the impact of Covid-19 on their sector, from which high-frequency words are identified and grouped thematically. Reflecting on these high-frequency words and the thematic grouping, a model of mindful leadership is proposed as a positive tool that may enable those in leadership to recognise and respond efficiently to wider structural frailties within Higher Education, with reference to the capacity of leaders to operate with increased mindfulness, enabling a more resilient organisation that unlocks the locus of control.

Sign in / Sign up

Export Citation Format

Share Document