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Coming Early to the Party
Mario Bellia
Loriana Pelizzon
Marti G. Subrahmanyam
Jun Uno
Darya Yuferova
出版
SAFE, Sustainable Architecture for Finance in Europe
, 2017
URL
http://books.google.com.hk/books?id=TIavswEACAAJ&hl=&source=gbs_api
註釋
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).
