High frequency trading and end-of-day price dislocation

被引：43

作者：

Aitken, Michael ^{[1
]}

Cumming, Douglas ^{[2
]}

Zhan, Feng ^{[3
]}

机构：

[1] Macquarie Univ, Macquarie Grad Sch Management, N Ryde, NSW 2109, Australia

[2] York Univ, Schulich Sch Business, Toronto, ON M3J 1P3, Canada

[3] John Carroll Univ, Boler Sch Business, University Hts, OH 44118 USA

来源：

JOURNAL OF BANKING & FINANCE | 2015年 / 59卷

关键词：

High frequency trading; Price dislocation; Manipulation; FLOW TOXICITY; MARKET; MANIPULATION; MICROSTRUCTURE; LIQUIDITY; BEHAVIOR; SPEED; LAW;

D O I：

10.1016/j.jbankfin.2015.06.011

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We show that the presence of high frequency trading (HFT) has significantly mitigated the frequency and severity of end-of-day price dislocation. The effect of HFT is more pronounced on days when end of day price dislocation is more likely to be the result of market manipulation. Moreover, the effect of I-IFT is more pronounced than the role of trading rules, surveillance, enforcement and legal conditions in curtailing the frequency and severity of end-of-day price dislocation. We show our findings are robust to different proxies of the start of HFT by trade size, cancellation of orders, and co-location. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：330 / 349

页数：20

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