The Flash Crash: The Impact of High Frequency Trading on an Electronic Market

2011 ◽  
Author(s):  
Andrei A. Kirilenko ◽  
Albert S. Kyle ◽  
Mehrdad Samadi ◽  
Tugkan Tuzun
Keyword(s):  
High Frequency ◽  
High Frequency Trading ◽  
Electronic Market ◽  
Flash Crash ◽  
The Impact

scholarly journals The Flash Crash: High-Frequency Trading in an Electronic Market

2017 ◽  
Vol 72 (3) ◽  
pp. 967-998 ◽  
Author(s):  
ANDREI KIRILENKO ◽  
ALBERT S. KYLE ◽  
MEHRDAD SAMADI ◽  
TUGKAN TUZUN
Keyword(s):  
High Frequency ◽  
High Frequency Trading ◽  
Electronic Market ◽  
Flash Crash

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 ‘Market making’ by humans in centralized markets has been replaced by supercomputers and algorithmic high frequency trading operating in often highly fragmented markets.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.

High-Frequency Trading and its Role in Fragmented Markets

2017 ◽  
Vol 32 (3) ◽  
pp. 283-296 ◽  
Author(s):  
Martin Haferkorn
Keyword(s):  
Market Efficiency ◽  
High Frequency ◽  
Efficient Market Hypothesis ◽  
High Frequency Trading ◽  
Electronic Market ◽  
Coordination Costs ◽  
Major Transformation ◽  
Securities Trading ◽  
Term Analysis

Securities trading underwent a major transformation within the last decade. This transformation was mainly driven by the regulatory induced fragmentation and by the increase of high-frequency trading (HFT). On the basis of the electronic market hypothesis, which poses that coordination costs decline when markets become automated, and the efficient market hypothesis in its semi-strong form, we study the effect of HFT on market efficiency in the European fragmented market landscape. In doing so, we further incorporate the realm of financialization, which criticizes the increase in transaction speed. By conducting a long-term analysis of CAC 40 securities, we find that HFT increases market efficiency by leveling midpoints between Euronext Paris and Bats Chi-X Europe. On the basis of a crosscountry event study, we analyze the effect of the German HFT Act. We observe that the midpoint dispersion of blue chip securities between the two leading venues Deutsche Boerse and Bats Chi-X Europe increased. We conclude that HFT increases market efficiency in the European market landscape by transmitting information between distant markets.

The Impact of High-Frequency Trading in Experimental Markets

2020 ◽  
Vol 29 (4) ◽  
pp. 7-18
Author(s):  
Nathanael Berger ◽  
Mark DeSantis ◽  
David Porter
Keyword(s):  
High Frequency ◽  
High Frequency Trading ◽  
Experimental Markets ◽  
The Impact

The Regulatory, Technology and Market ‘Dark Arts Trilogy’ of High Frequency Trading: A Research Agenda

2017 ◽  
Vol 32 (2) ◽  
pp. 111-126 ◽  
Author(s):  
Wendy L. Currie ◽  
Jonathan J. M. Seddon
Keyword(s):  
Information Systems ◽  
Financial Markets ◽  
Empirical Data ◽  
High Frequency ◽  
Research Agenda ◽  
High Frequency Trading ◽  
Algorithmic Trading ◽  
Flash Crash ◽  
Financial Trading ◽  
Dow Jones Industrial Average

Computerization has transformed financial markets with high frequency trading displacing human activity with proprietary algorithms to lower latency, reduce intermediary costs, enhance liquidity and increase transaction speed. Following the “Flash Crash” of 2010 which saw the Dow Jones Industrial Average plunge 1000 points within minutes, high frequency trading has come under the radar of multi-jurisdictional regulators. Combining a review of the extant literature on high frequency trading with empirical data from interviews with financial traders, computer experts and regulators, we develop concepts of regulatory adaptation, technology asymmetry and market ambiguity to illustrate the ‘dark art’ of high frequency trading. Findings show high frequency trading is a multi-faceted, complex and secretive practice. It is implicated in market events, but correlation does not imply causation, as isolating causal mechanisms from interconnected automated financial trading is highly challenging for regulators who seek to monitor algorithmic trading across multiple jurisdictions. This article provides information systems researchers with a set of conceptual tools for analysing high frequency trading.

scholarly journals The Impact of High-Frequency Trading on Markets

CFA Magazine ◽  
2011 ◽  
Vol 22 (2) ◽  
pp. 10-11 ◽  
Author(s):  
Frank Zhang ◽  
Stuart Baden Powell
Keyword(s):  
High Frequency ◽  
High Frequency Trading ◽  
The Impact
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