Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/87680
Authors: 
Aitken, Michael
Cumming, Douglas
Zhan, Feng
Year of Publication: 
2013
Series/Report no.: 
CFS Working Paper 2013/16
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
Document Type: 
Working Paper

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