Coming early to the party

Arbeitspapier

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).

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• Language: Englisch

References and Relationships

• Bibliographic citation: Series: SAFE Working Paper ; No. 182

Classification and Topics

• Classification: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates ; Information and Market Efficiency; Event Studies; Insider Trading
• Subject: High-Frequency Traders (HFTs) ; Proprietary Trading ; Opening Auction ; Liquidity Provision ; Price Discovery

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Bellia, Mario ; Pelizzon, Loriana ; Subrahmanyam, Marti ; Uno, Jun ; Yuferova, Darya
• Event: Veröffentlichung
• (who): Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe
• (where): Frankfurt a. M.
• (when): 2017

Further information

• DOI: doi:10.2139/ssrn.3038699
• Handle: http://hdl.handle.net/10419/168649
• URN: urn:nbn:de:hebis:30:3-438747