scholarly journals Aggressive and Defensive High‑Frequency Trading and its Impact on Liquidity of German Stock Market

2016 ◽  
Vol 64 (6) ◽  
pp. 1911-1918
Author(s):  
Juraj Hruška
Keyword(s):  
High Frequency ◽  
Stock Exchange ◽  
Low Frequency ◽  
Positive Influence ◽  
Market Liquidity ◽  
High Frequency Trading ◽  
Market Manipulation ◽  
Limit Orders ◽  
Market Risks ◽  
German Stock

Algorithmic trading and especially high frequency trading is the concern of the current research studies as well as legislative authorities. It is also the subject of criticism mostly from low frequency traders and long-term institutional investors. This is due to several cases of market manipulation and flash crashes in the previous years. Advocates of this trading mechanism claim that it has large positive influence on the market, such as liquidity growth by lowering spreads and others. This paper is focused on testing the relationship between market liquidity of shares traded on Frankfurt Stock Exchange and HFT activity on European stock markets. Author proposes own methodology for measuring dynamics in HFT activity, without knowledge of original market messages. Liquidity is measured by various from of price spreads. Econometrical methods for panel regression are used to determine these relations. Results of this paper will reveal the relevance of the HFT trader’s main argument about creating liquidity and hence reducing market risks related with high spreads and low number of limit orders.

scholarly journals High-Frequency Trading Competition

2018 ◽  
Vol 54 (4) ◽  
pp. 1469-1497 ◽  
Author(s):  
Jonathan Brogaard ◽  
Corey Garriott
Keyword(s):  
High Frequency ◽  
Stock Exchange ◽  
Market Liquidity ◽  
High Frequency Trading ◽  
Toronto Stock Exchange ◽  
Bid Ask Spreads

Theory on high-frequency traders (HFTs) predicts that market liquidity for a security decreases in the number of HFTs trading the security. We test this prediction by studying a new Canadian stock exchange, Alpha, that experienced the entry of 11 HFTs over 4 years. We find that bid–ask spreads on Alpha converge to those at the Toronto Stock Exchange as more HFTs trade on Alpha. Effective and realized spreads for non-HFTs improve as HFTs enter the market. To explain the contrast with theory, which models the HFT as a price competitor, we provide evidence more consistent with HFTs fitting a quantity-competitor framework.

scholarly journals Determinants of price reversal in high-frequency trading: empirical evidence from Indonesia

2020 ◽  
Vol 17 (1) ◽  
pp. 175-187 ◽  
Author(s):  
Perdana Wahyu Santosa
Keyword(s):  
High Frequency ◽  
Trading Volume ◽  
Stock Exchange ◽  
High Frequency Trading ◽  
High Price ◽  
Research Approach ◽  
Price Model ◽  
Bid Ask Spread ◽  
Price Reversal ◽  
New Research

This article analyzes whether the factors of the mechanism of high-frequency trading (HFT) or intraday trading affect the process of price reversal and continuation. The price reversal phenomenon is gaining importance rapidly due to the increasingly intensive use of IT/Fintech-based trading automation facilities on the Indonesia Stock Exchange. However, one knows little about how their trading affects volatility and liquidity pressures that cause price reversals. A new research approach uses the factors of market microstructure mechanism based on high-frequency data (HFD-intraday). The research method uses purposive random sampling, which classified price fractions into three groups, specifically low price, medium price, and high price, which are analyzed by logistic panel regression. The research variables used include price reversal (dependent), stock return, trading volume, transaction frequency, volume/frequency (V/F) proxy, volatility, and liquidity. According to low price model research findings, all variables show a significant effect on price reversal; for medium price model, all variables except liquidity show a significant effect on price reversal; and for high price model, all variables have a significant effect on price reversal, except trading volume and volatility. In conclusion, low price shares tend to have higher price reversal probability compared to continuity because they tend to be liquid, low institutional ownership, and minimal reporting/analysis and are controlled by HFTs (uninformed traders). Some variables are not significant because of the bounce effect around the bid-ask spread. AcknowledgmentMany thanks to Armida S. Alisjahbana, Roy H. Sembel, Budiono, Rahardi S. Rahmanto, and the anonymous referee/reviewer for valuable inputs and feedback.

scholarly journals The Flash Crash Of May 2010: Accident Or Market Manipulation?

2011 ◽  
Vol 9 (1) ◽  
Author(s):  
Chris Rose
Keyword(s):  
High Frequency ◽  
High Frequency Trading ◽  
Market Manipulation ◽  
Font Size ◽  
Wall Street ◽  
Flash Crash

<p class="MsoNormal" style="text-align: justify; line-height: normal; margin: 0in 0.5in 0pt; mso-pagination: none;"><span style="font-family: &quot;Times New Roman&quot;,&quot;serif&quot;; font-size: 10pt;">On May 6th., 2010, the Dow fell about a thousand points in a half hour and Wall Street lost $800 billion of value. Some claim that it was just an isolated incident and there was nothing nefarious but with the majority of trading being done by electronic exchanges and with the increase in High Frequency Trading, evidence is emerging that the crash just might have been a case of deliberate manipulations of the market.</span></p>

scholarly journals A Comparison of the Online Shopping Behavior Patterns of Consumer Groups with Different Online Shopping Experiences

2017 ◽  
Vol 9 (3) ◽  
pp. 24 ◽  
Author(s):  
Shwu-Ing Wu ◽  
Hsin-Ti Tsai
Keyword(s):  
Consumer Behavior ◽  
High Frequency ◽  
Online Shopping ◽  
Low Frequency ◽  
Positive Influence ◽  
Consumption Patterns ◽  
Shopping Behavior ◽  
Behavior Patterns ◽  
Frequency Group ◽  
Online Shopping Behavior

The appearance of Internet does not only bring changes to consumption patterns, but also to the business modes of companies, as a result of which Internet has become a perfect sales channel. When a consumer shops online, s/he might be influenced by a huge variety of factors. In this study, ABC model of attitude was adopted to investigate empirically the influences of website characteristics and external stimulus on consumers’ online shopping behavior. A relationship model was also established to compare the differences of consumer groups with different online shopping experiences.Using convenience sampling, a total of 818 valid questionnaires were collected for the purpose of this study. Based on their online shopping experiences, consumers were divided into high frequency and low frequency groups in order to compare their consumption patterns as a group. According to the results, the two groups with different online shopping experiences were significantly different in three relational paths. To be specific: (1) Compared to the low frequency group, consumers in the high frequency group is more significantly positively influenced by website characteristics along the affection path during their online shopping. (2) Compared to the high frequency group, consumers in the low frequency group are more significantly positively influenced by website characteristics along the attitude path during their online shopping. (3) Compared with the low frequency group, a more significant positive influence is found among consumers in the high frequency group between consumer affection and consumer behavior path. These differences in the consumer behavior patterns of groups with different online shopping experiences according to the research results, therefore, could be used as references for online shopping business owners in their formulation of strategies.

Phantom Liquidity and High-Frequency Quoting

2018 ◽  
Keyword(s):  
High Frequency ◽  
Price Level ◽  
Low Frequency ◽  
High Frequency Trading ◽  
Limit Order

This article examines every NASDAQ ITCH feed message for S&P 500 Index stocks for 2012 and identifies clusters of extremely high and extremely low limit-order cancellation activity. The authors find results consistent with the idea that cancel clusters are the result of high-frequency traders jockeying for queue position and reacting to information to establish a new price level. Furthermore, few trades seem to be executed during cancel clusters or even immediately after them. Low cancellation activity seems to be markedly different, with many level changes all caused by executions. The results are consistent with high-frequency trading firms behaving as agents who bring efficiency to the market without the need to have executions at intermediate prices. The authors also discuss the misconception that investors and low-frequency traders are synonymous and its implications for policy given these results.

Metallography Evaluation of Cast and Wrought Ni-Base Superalloys

2017 ◽  
Vol 891 ◽  
pp. 414-419
Author(s):  
Juraj Belan ◽  
Alan Vaško ◽  
Lenka Kuchariková ◽  
Eva Tillová
Keyword(s):  
High Frequency ◽  
Structural Parameters ◽  
Low Frequency ◽  
Fatigue Loading ◽  
Negative Influence ◽  
Positive Influence ◽  
Modern Technology ◽  
Σ Phase ◽  
Gamma Prime ◽  
Microstructure Evaluation

. The Ni-base superalloys have an interesting history and evolution since they start to be used in aero jet engines. Microstructures of superalloys have dramatically changed through the years as modern technology of its casting or forging becomes more sophisticated. The first superalloys have polyedric microstructure consist of gamma solid solution, some fraction of gamma prime and of course grain boundaries. As demands on higher performance of aero jet engine increases, the changes in superalloys microstructure become more significant. Further step in microstructure evolution was directionally solidified alloys with columnar gamma prime particles. The latest microstructures are mostly monocrystalline, oriented in [001] direction of FCC gamma matrix. What does not changed through the years is elementary FCC structure of matrix and fundamental group of alloying elements. All microstructure changes bring necessity of proper preparation and evaluation of microstructure. Except already mentioned structures have gamma double prime and various carbides form appear. These structural parameters have mainly positive influence on important mechanical properties of superalloys. However, some detrimental phases as Laves, σ-phase appears as well and have negative influence on heat resistance of superalloys. Paper deals with such microstructural evaluation of both groups of alloys – cast and wrought as well. Microstructure evaluation helps to describe mechanism at various loading and failure of progressive superalloys. Such example where microstructure evaluation is employed is fractography of failure surfaces after fatigue tests, which are as example of metallography evaluation described in this paper as secondary objective. Fatigue test done in this article were at high frequency with push-pull loading, so called high frequency fatigue loading (HFFL) and at low frequency three point flexure, so called low frequency fatigue loading (LFFL).

scholarly journals Instantaneous Order Impact and High-Frequency Strategy Optimization in Limit Order Books

2017 ◽  
Vol 03 (02) ◽  
pp. 1850001 ◽  
Author(s):  
Federico Gonzalez ◽  
Mark Schervish
Keyword(s):  
High Frequency ◽  
Stock Exchange ◽  
Markov Chain Model ◽  
Optimal Order ◽  
Order Book ◽  
Chain Model ◽  
Limit Order ◽  
Limit Orders ◽  
Order Books ◽  
The Impact

We propose a limit order book (LOB) model with dynamics that account for both the impact of the most recent order and volume imbalance. To model these effects jointly we introduce a discrete Markov chain model. We then find the policy for optimal order choice and control. The optimal policy derived uses limit orders, cancellations and market orders. It looks to avoid non-execution and adverse selection risk simultaneously. Using ultra high-frequency data from the NASDAQ stock exchange we compare our policy with other submission strategies that use a subset of all available order types and show that ours significantly outperforms.

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