Arbeitspapier
The ambivalent role of high-frequency trading in turbulent market periods
We show an ambivalent role of high-frequency traders (HFTs) in the Eurex Bund Futures market around high-impact macroeconomic announcements and extreme events. Around macroeconomic announcements, HFTs serve as market makers, post competitive spreads, and earn most of their profits through liquidity supply. Right before the announcement, however, HFTs significantly widen spreads and cause a rapid but short-lived drying-out of liquidity. In turbulent periods, such as after the U.K. Brexit announcement, HFTs shift their focus from market making activities to aggressive (but not necessarily profitable) directional strategies. Then, HFT activity becomes dominant and market quality can degrade.
- Sprache
-
Englisch
- Erschienen in
-
Series: CFS Working Paper Series ; No. 580
- Klassifikation
-
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Information and Market Efficiency; Event Studies; Insider Trading
- Thema
-
High Frequency Trading
Market Making
News Releases
Futures Market
Brexit
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hautsch, Nikolaus
Noé, Michael
Zhang, S. Sarah
- Ereignis
-
Veröffentlichung
- (wer)
-
Goethe University Frankfurt, Center for Financial Studies (CFS)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2017
- Handle
- URN
-
urn:nbn:de:hebis:30:3-438666
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hautsch, Nikolaus
- Noé, Michael
- Zhang, S. Sarah
- Goethe University Frankfurt, Center for Financial Studies (CFS)
Entstanden
- 2017
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