Liquidity of the European stock markets under the influence of HFT
| Autoři | |
|---|---|
| Rok publikování | 2015 |
| Druh | Článek ve sborníku |
| Konference | Procedia Economics and Finance |
| Fakulta / Pracoviště MU | |
| Citace | |
| Doi | http://dx.doi.org/10.1016/S2212-5671(15)00867-9 |
| Obor | Řízení, správa a administrativa |
| Klíčová slova | liquidity; high-frequency trading; spreads; regression |
| Popis | 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 mostly low frequency traders and long-term institutional investors. This is mostly 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 futures traded on EUREX Exchange and HFT activity on European derivative markets. Econometrical methods for time series analysis 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 of all the market risks related with high spreads and low number of limit orders. |
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