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Autor:innen: 
Bellia, Mario
Pelizzon, Loriana
Subrahmanyam, Marti
Uno, Jun
Yuferova, Darya
Datum: 
2017
Schriftenreihe/Nr.: 
SAFE Working Paper No. 182
Verlag: 
Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe, Frankfurt a. M.
Zusammenfassung: 
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).
Schlagwörter: 
High-Frequency Traders (HFTs)
Proprietary Trading
Opening Auction
Liquidity Provision
Price Discovery
JEL: 
G12
G14
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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