Arbeitspapier
Coming early to the party
We examine the strategic behavior of High Frequency Traders (HFTs) during the pre-opening phase and the opening auction of the NYSE-Euronext Paris exchange. HFTs actively participate, and profitably extract information from the order flow. They also post "flash crash" orders, to gain time priority. They make profits on their last-second orders; however, so do others, suggesting that there is no speed advantage. HFTs lead price discovery, and neither harm nor improve liquidity. They "come early to the party", and enjoy it (make profits); however, they also help others enjoy the party (improve market quality) and do not have privileges (their speed advantage is not crucial).
- Sprache
-
Englisch
- Erschienen in
-
Series: SAFE Working Paper ; No. 182
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Information and Market Efficiency; Event Studies; Insider Trading
- Thema
-
High-Frequency Traders (HFTs)
Proprietary Trading
Opening Auction
Liquidity Provision
Price Discovery
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bellia, Mario
Pelizzon, Loriana
Subrahmanyam, Marti
Uno, Jun
Yuferova, Darya
- Ereignis
-
Veröffentlichung
- (wer)
-
Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe
- (wo)
-
Frankfurt a. M.
- (wann)
-
2017
- DOI
-
doi:10.2139/ssrn.3038699
- Handle
- URN
-
urn:nbn:de:hebis:30:3-438747
- Letzte Aktualisierung
-
10.03.2025, 11:42 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
- Bellia, Mario
- Pelizzon, Loriana
- Subrahmanyam, Marti
- Uno, Jun
- Yuferova, Darya
- Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe
Entstanden
- 2017
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