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, p. 252-257. ISBN 978-80-210-7153-7.
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Basic information
Original name Impact of High Frequency Trading on Volatilities of Securities on German Market
Name in Czech Vliv vysokofrekvenčního obchodování na volatilitu cenných papírů na Německém trhu
Authors HRUŠKA, Juraj (703 Slovakia, guarantor, belonging to the institution).
Edition Brno, European Financial Systems 2014. Proceedings of the 11th International Scientific Conference, p. 252-257, 6 pp. 2014.
Publisher Masarykova Univerzita
Other information
Original language English
Type of outcome Proceedings paper
Field of Study 50600 5.6 Political science
Country of publisher Czech Republic
Confidentiality degree is not subject to a state or trade secret
Publication form printed version "print"
RIV identification code RIV/00216224:14560/14:00077127
Organization unit Faculty of Economics and Administration
ISBN 978-80-210-7153-7
UT WoS 000350701500033
Keywords (in Czech) vysokofrekvenční obchodování; volatilita; lineární regrese;algoritmické obchodování; objem obchodování
Keywords in English high frequency trading; volatility; linear regression; algorithmic trading; trading volume
Tags International impact, Reviewed
Changed by Changed by: Mgr. Daniela Marcollová, učo 111148. Changed: 3/4/2015 09:34.
Abstract
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.
Links
MUNI/A/0786/2013, interní kód MUName: Analýza a predikce vývoje cen finančních a investičních nástrojů
Investor: Masaryk University, Category A
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