scholarly journals High‑Frequency Trading in the Modern Market Microstructure: Opportunities and Threats

2019 ◽  
Vol 7 (3) ◽  
pp. 25-36
Author(s):  
M. Zharikov
Keyword(s):  
Financial Markets ◽  
Financial Market ◽  
Market Microstructure ◽  
High Frequency ◽  
Financial Engineering ◽  
Market Design ◽  
High Frequency Trading ◽  
Optimal Trading ◽  
Trading Market ◽  
Long Run

The article covers some ideas about the research on high-frequency trading and financial market design. The topic is time-relevant because today there exists a need to convince traders that there is a simple structural floor in the way that the financial markets are designed. The article reveals the significance of trading on the floor that the foremost fundamental constraint is limited time. The author proves that time on the financial market feels, to some extent, infinite when someone counts it in millions of seconds, but time is nevertheless finite. The author then gets into the actual research on high-frequency trading in the financial market design. The motivation for this project is to analyse activity among high-frequency trading firms by which investments of substantial sums of money are understood as economically trivial speed improvements. The theoretical significance of the research’s outcomes lies in outlaying the systemic approach to dealing with stochastic control problems in the context of financial engineering. The practical relevance of the paper lies in the mechanism that allows solving problems surrounding optimal trading, market microstructure, high-frequency trading, etc. The article concludes by talking about the issues in the modern electronic markets and by giving lessons to dealing with them in the long run.

scholarly journals What is a 'Real' Transaction? Infrastructures, relations and Spoofing in High-Frequency Trading

2016 ◽  
Author(s):  
Juan Pablo Pardo Guerra
Keyword(s):  
Financial Markets ◽  
High Frequency ◽  
High Frequency Trading ◽  
Market Behavior ◽  
Digital Platforms ◽  
Market Participants

Although an old and rare practice, spoofing has re-emerged as a subject ofintense debate within modern financial markets. An activity entailing thefraudulent creation of orders to buy and sell securities with the purposeof manipulating the market, spoofing highlights the multiple and complexmoral valences of contemporary, automated, finance. In this paper, I studyspoofing as an opportunity to understand markets and their relations ofexchange. In particular, by extending Weberian metaphors of markets asmoral and organizational communities, I examine how the courts and marketparticipants distinguish the ‘false’ transactions of spoofing from the‘real’ exchanges of 'normal' market behavior. Combining Marilyn Strathern’stheoretical discussion of the anthropological relation with recentliteratures on infrastructures and markets, I argue that the perceivedreality of transactions is a product of how novel forms of economicknowledge are able to make sense of ‘taken for granted’ behavioral patternswithin digital platforms of market action. The intent that constitutes‘real’ trades is therefore a product of how market participants, economicexperts and the courts interpret the operational underbelly of markets andthe relations that they produce.

scholarly journals High frequency trading and comovement in financial markets

2019 ◽  
Vol 134 (2) ◽  
pp. 381-399 ◽  
Author(s):  
Laura Malceniece ◽  
Kārlis Malcenieks ◽  
Tālis J. Putniņš
Keyword(s):  
Financial Markets ◽  
High Frequency ◽  
High Frequency Trading

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.

High-Frequency Trading and Conflict in the Financial Markets

2017 ◽  
Vol 32 (3) ◽  
pp. 270-282 ◽  
Author(s):  
Ricky Cooper ◽  
Jonathan Seddon ◽  
Ben Van Vliet
Keyword(s):  
Financial Markets ◽  
High Frequency ◽  
High Frequency Trading ◽  
Market Makers ◽  
Market Participants ◽  
Software Vendor ◽  
Traditional Market ◽  
Recent Developments ◽  
The Way

The last few decades has seen an ever-increasing growth in the way activities are productized and associated with a financial cost. This phenomenon, termed financialization, spans all areas including government, finance, health and manufacturing. Recent developments within finance over that past decade have radically altered the way trading occurs. This paper analyses high-frequency trading (HFT) as a necessary component of the infrastructure that makes financialization possible. Through interviews with HFT firms, a software vendor, regulators and banks, the effects of HFT on market efficiency, and its impact on costs to long-term investors are explored. This paper contributes to the literature by exploring the conflict that exists between HFT and traditional market makers in today's fragmented markets. This paper argues that society should be unconcerned with this conflict and should instead focus on the effects these participants have on the long-term investors, for whom the markets ultimately exist. In order to facilitate the best outcomes, regulation should be simple, aimed at keeping participants’ behavior stable, and the interactions among them transparent and straightforward. Financialization and HFT are inextricably linked, and society is best served by ensuring that the creative energy of these market participants is directed on providing liquidity and removing inefficiencies.

scholarly journals Performance of American and Russian joint stock companies on financial market. A microstructure perspective

Equilibrium ◽  
2016 ◽  
Vol 11 (4) ◽  
pp. 819 ◽  
Author(s):  
Magdalena Osińska ◽  
Andrzej Dobrzyński ◽  
Yochanan Shachmurove
Keyword(s):  
Financial Markets ◽  
Financial Market ◽  
Market Microstructure ◽  
Stock Exchange ◽  
Market Equilibrium ◽  
Economic Sanctions ◽  
Transmission Mechanism ◽  
Before And After ◽  
Ukrainian Crisis ◽  
The U.S

This paper compares the periods before and after the Ukrainian crisis of 2014 from the perspective of market microstructure. The hypothesis is that the crisis influenced the fragile Russian financial market equilibrium. As financial markets adapt to the new equilibrium, the paper studies the effects of the crisis and the imposition of economic sanctions on Russia in terms of volatility, duration, prices and volume for selected joint stock companies listed on the U.S. and the Russian stock markets. Results reveal that the Moscow Stock exchange lacks an appropriate transmission mechanism from informed investors to the rest of the market.

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