Impact of High Frequency Trading on Volatilities of Securities
on German Market

D 2014

Impact of High Frequency Trading on Volatilities of Securities on German Market

HRUŠKA, Juraj

Základní údaje

Originální název

Impact of High Frequency Trading on Volatilities of Securities on German Market

Název česky

Vliv vysokofrekvenčního obchodování na volatilitu cenných papírů na Německém trhu

Autoři

HRUŠKA, Juraj (703 Slovensko, garant, domácí)

Vydání

Brno, European Financial Systems 2014. Proceedings of the 11th International Scientific Conference, od s. 252-257, 6 s. 2014

Nakladatel

Masarykova Univerzita

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50600 5.6 Political science

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

tištěná verze "print"

Kód RIV

RIV/00216224:14560/14:00077127

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-80-210-7153-7

UT WoS

000350701500033

Klíčová slova česky

vysokofrekvenční obchodování; volatilita; lineární regrese;algoritmické obchodování; objem obchodování

Klíčová slova anglicky

high frequency trading; volatility; linear regression; algorithmic trading; trading volume

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 3. 4. 2015 09:34, Mgr. Daniela Marcollová

Anotace

V originále

Algorithmic trading has become the crucial part of trading on world equity markets. Almost every big stock exchange undertook process of hybridization and allowed automated order submission. This led to many manipulative strategies which could have impact on market volatility. This paper is focused on these strategies and their impact on volatility. Furthermore, the reduction of the volatility is tested as a result of implemented regulations. Econometrical methods are used to determine relationship between high-frequency trading activity and volatility of chosen securities. Their selection is based on volume of trading, number of trades and especially number of orders and cancelled orders, which are the main indicator of manipulation activity. Explained variable in the models is the implied volatility of securities and explaining variables are derived from trading activity and dummy variables of events of hybridization and regulation of markets. Results of this paper confirm that unregulated high frequency trading can cause increase in the volatility of market prices on Eurex exchange and are presented and discussed in this paper.

Návaznosti

MUNI/A/0786/2013, interní kód MU

Název: Analýza a predikce vývoje cen finančních a investičních nástrojů

Investor: Masarykova univerzita, Analýza a predikce vývoje cen finančních a investičních nástrojů, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

HRUŠKA, Juraj. Impact of High Frequency Trading on Volatilities of Securities on German Market. In Deev, Kajurová, Krajíček. European Financial Systems 2014. Proceedings of the 11th International Scientific Conference. Brno: Masarykova Univerzita, 2014, s. 252-257. ISBN 978-80-210-7153-7.

@inproceedings{1205017,
   author = {Hruška, Juraj},
   address = {Brno},
   booktitle = {European Financial Systems 2014. Proceedings of the 11th International Scientific Conference},
   editor = {Deev, Kajurová, Krajíček},
   keywords = {high frequency trading; volatility; linear regression; algorithmic trading; trading volume},
   howpublished = {tištěná verze "print"},
   language = {eng},
   location = {Brno},
   isbn = {978-80-210-7153-7},
   pages = {252-257},
   publisher = {Masarykova Univerzita},
   title = {Impact of High Frequency Trading on Volatilities of Securities on German Market},
   year = {2014}
}

TY  - JOUR
ID  - 1205017
AU  - Hruška, Juraj
PY  - 2014
TI  - Impact of High Frequency Trading on Volatilities of Securities on German Market
PB  - Masarykova Univerzita
CY  - Brno
SN  - 9788021071537
KW  - high frequency trading
KW  - volatility
KW  - linear regression
KW  - algorithmic trading
KW  - trading volume
N2  - Algorithmic trading has become the crucial part of trading on world equity markets. Almost every big stock exchange undertook process of hybridization and allowed automated order submission. This led to many manipulative strategies which could have impact on market volatility. This paper is focused on these strategies and their impact on volatility. Furthermore, the reduction of the volatility is tested as a result of implemented regulations. Econometrical methods are used to determine relationship between high-frequency trading activity and volatility of chosen securities. Their selection is based on volume of trading, number of trades and especially number of orders and cancelled orders, which are the main indicator of manipulation activity. Explained variable in the models is the implied volatility of securities and explaining variables are derived from trading activity and dummy variables of events of hybridization and regulation of markets. Results of this paper confirm that unregulated high frequency trading can cause increase in the volatility of market prices on Eurex exchange and are presented and discussed in this paper.
ER  -

HRUŠKA, Juraj. Impact of High Frequency Trading on Volatilities of Securities on German Market. In Deev, Kajurová, Krajíček. \textit{European Financial Systems 2014. Proceedings of the 11th International Scientific Conference}. Brno: Masarykova Univerzita, 2014, s.~252-257. ISBN~978-80-210-7153-7.

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