whipsaw Posted October 9, 2013 Report Share Posted October 9, 2013 Gibt noch ein paar weitere interessante Insights. Zum Bsp. äußert sich der Autor zur Mär, das HFT mehr Liquidität in die Märkte bringen würde.... This paper examines the impact of high frequency trading (HFT) on the trading costs of traditional institutional investors. Combining data on institutional trading from Ancerno and NASDAQ data on HFT activities of a sample of 120 stocks, I find strong evidence that HFT increases the trading costs of institutional investors. In addition, high frequency (HF) traders are net buyers (sellers) when institutions on average are net sellers (buyers). Periods of increased HFT buying (selling) activity are marked by an increase in the selling (buying) costs of institutional investors. Further analysis rules out an alternative explanation that HF traders are attracted to stocks that have high trading costs. First, HFT is more active on liquid stocks. Second, the results are robust to the control of stable stock liquidity characteristics and events that might jointly affect HFT and trading costs. Third, I analyze the behavior of HF traders in the aftermath of the temporary short selling ban that was imposed on a group of financial stocks in September 2008. For the stocks in my sample that are subject to the short selling ban, HF traders’ market participation was reduced while institutional trading costs rose sharply. This natural experiment highlights the opportunistic nature of the liquidity provision by HF traders. Finally, Granger causality tests show that intensive HFT activity contributes to an increase in trading costs, but not vice versa. A Blessing or a Curse? The Impact of High Frequency Trading on Institutional Investors Paper ist frei zum Download verfügbar. SSRN-id2330053.pdf ©Lin TongUniversity of Iowa - Department of Finance Auch interessant - Einige HFT Mythen © 2013 FT.com Quote Link to comment Share on other sites More sharing options...
whipsaw Posted November 6, 2013 Author Report Share Posted November 6, 2013 EU-Working Paper: High Frequency Trading and Price Discovery Jonathan Brogaard, Terrence HendershottRyan Riordan Lamfalussy FellowshipsThis paper has been produced under the ECB Lamfalussy Fellowship programme. This programme was launched in 2003 in the context of the ECB-CFS Research Network on “Capital Markets and Financial Integration in Europe”. It aims at stimulating high-quality research on the structure, integration and performance of the European financial system. The Fellowship programme is named after Baron Alexandre Lamfalussy, the first President of the European Monetary Institute. Mr Lamfalussy is one of the leading central bankers of his time and one of the main supporters of a single capital market within the European Union. Each year the programme sponsors five young scholars conducting a research project in the priority areas of the Network. The Lamfalussy Fellows and their projects are chosen by a selection committee composed of Eurosystem experts and academic scholars. Further information about the Network can be found at http://www.eufinancial-system.org and about the Fellowship programme under the menu point “fellowships” ecbwp1602.pdf Quote Link to comment Share on other sites More sharing options...
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