Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/87680 
Year of Publication: 
2013
Series/Report no.: 
CFS Working Paper No. 2013/16
Publisher: 
Goethe University Frankfurt, Center for Financial Studies (CFS), Frankfurt a. M.
Abstract: 
We show that the presence of high frequency trading (HFT) has significantly mitigated the frequency and severity of end-of-day price dislocation, counter to recent concerns expressed in the media. 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 on days of option expiry dates and end of month. Moreover, the effect of HFT is more pronounced than the role of trading rules, surveillance, enforcement and legal conditions in curtailing the frequency and severity of end-ofday 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.
Subjects: 
High frequency trading
End-of-day Price dislocation
Manipulation
Trading Rules
Surveillance
Law and Finance
JEL: 
G12
G14
G18
K22
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
569.71 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.