Dynamics of liquidity on German stock market under the influence of HFT  

Oleh:

Hruška, Juraj

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: Procedia - Social and Behavioral Sciences vol. 220 (May 2016), page 1-8.
Topik: liquidity; high-frequency trading; panel regression; Germany
Fulltext: Procedia v220 Page 134.pdf (180.11KB)

Isi artikel

Algorithmic trading is the subject of criticism mostly from low frequency traders and long-term institutional investors. Advocates of this trading mechanism claim that it has large positive influence on the market, such as liquidity growth by lowering spreads. This paper is focused on testing the relationship between market liquidity of shares traded on German Stock Exchange and HFT activity. Author proposes own methodology for measuring dynamics in HFT activity. Econometrical methods for panel regression are used to determine these relations. Results of this paper confirm the relevance of the HFT trader's main argument about creating liquidity.

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