University of Cambridge > Talks.cam > Isaac Newton Institute Seminar Series > Ultra-Fast Activity and Market Quality

Ultra-Fast Activity and Market Quality

Add to your list(s) Download to your calendar using vCal

If you have a question about this talk, please contact Mustapha Amrani.

Institute distinguished event

This paper analyses the relationship between ultra-fast activity taking place in the stock market, and different dimensions of market quality. For us “ultra-fast activity” includes the actions of both high-frequency proprietary trading as well as automated buy- and sell-side algos. In order to measure this ultra-fast activity empirically we define a new measure, which uses information on messages sent to the exchange, We then, use this measure as proxy for ultra-fast activity, and analyze its relationship with standard measures of market quality, during the month of march for every year between 2005 and 2011 (inclusive). Our analysis finds evidence that higher ultra-fast activity is associated with lower market quality: less depth in limit order book, higher effective spreads, and higher quoted spreads.

This talk is part of the Isaac Newton Institute Seminar Series series.

Tell a friend about this talk:

This talk is included in these lists:

Note that ex-directory lists are not shown.

 

© 2006-2024 Talks.cam, University of Cambridge. Contact Us | Help and Documentation | Privacy and Publicity