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Effects of High-Frequency Trading in the Multidealer Spot Foreign Exchange 高频交易对多交易商即期外汇的影响
The Journal of Trading Pub Date : 2015-03-31 DOI: 10.3905/jot.2015.10.2.072
A. Schmidt
{"title":"Effects of High-Frequency Trading in the Multidealer Spot Foreign Exchange","authors":"A. Schmidt","doi":"10.3905/jot.2015.10.2.072","DOIUrl":"https://doi.org/10.3905/jot.2015.10.2.072","url":null,"abstract":"Contributions of various trading styles to the liquidity of the multidealer foreign exchange (FX) spot market are described. Market impact of the intervention of the Bank of Japan in 2011 is discussed. Particular attention is given to the effects of high-frequency trading (HFT). It is argued that the HFT orders occupy the top of the limit order book most of the time and, as a result, HFT determines the market volatility. Possible solutions to maintaining market liquidity in the presence of HFT are addressed.","PeriodicalId":254660,"journal":{"name":"The Journal of Trading","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133651860","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Should More Be Done to Address High-Frequency Trading? 应该采取更多措施应对高频交易吗?
The Journal of Trading Pub Date : 2015-03-31 DOI: 10.3905/JOT.2015.10.2.079
J. Valdez
{"title":"Should More Be Done to Address High-Frequency Trading?","authors":"J. Valdez","doi":"10.3905/JOT.2015.10.2.079","DOIUrl":"https://doi.org/10.3905/JOT.2015.10.2.079","url":null,"abstract":"Our current market structure has created opportunities for businesses like high-frequency trading (HFT) to exist. Therefore, as trading professionals, we need to be prepared to interact with all of the legal market participants, including HFT, rather than worrying about whatever fractional advantage they wish to pursue through technology.","PeriodicalId":254660,"journal":{"name":"The Journal of Trading","volume":"210 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128164080","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
First Steps in Developing High-Frequency Trading Models 开发高频交易模型的第一步
The Journal of Trading Pub Date : 2015-03-31 DOI: 10.3905/jot.2015.10.2.054
B. Vanstone, Tobias Hahn
{"title":"First Steps in Developing High-Frequency Trading Models","authors":"B. Vanstone, Tobias Hahn","doi":"10.3905/jot.2015.10.2.054","DOIUrl":"https://doi.org/10.3905/jot.2015.10.2.054","url":null,"abstract":"Confirmation of stylized facts and dimension reduction are key first steps in the subsequent development of specific high-frequency trading rules. This article demonstrates the application of these techniques using high-frequency foreign exchange (FX) data as a case study. The FX spot markets are well suited to high-frequency speculative trading. They are highly liquid, leveraged, and trade 24 hours a day, five days a week. This article describes the processes to follow for determining the applicability and robustness of known or suspected stylized facts to speculative trading; it also formalizes the technique of dimension reduction in high-frequency financial datasets.","PeriodicalId":254660,"journal":{"name":"The Journal of Trading","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126892669","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Two Years after “The Good, the Bad, and the Ugly” of Automated High-Frequency Trading 在“好，坏，丑”自动高频交易两年后
The Journal of Trading Pub Date : 2015-03-31 DOI: 10.3905/JOT.2015.10.2.101
Tommi A. Vuorenmaa
{"title":"Two Years after “The Good, the Bad, and the Ugly” of Automated High-Frequency Trading","authors":"Tommi A. Vuorenmaa","doi":"10.3905/JOT.2015.10.2.101","DOIUrl":"https://doi.org/10.3905/JOT.2015.10.2.101","url":null,"abstract":"The rage over high-frequency trading (HFT) and its role in financial markets has not quieted down. In some respects, the debate has heated up. This commentary letter gives personal perspectives to a review article by the same author that appeared in The Journal of Trading two years ago (Vuorenmaa [2013]). These insights could be developed into a policy that would make the markets work more efficiently with a better image.","PeriodicalId":254660,"journal":{"name":"The Journal of Trading","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114560499","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Editor’s Letter 编辑的信
The Journal of Trading Pub Date : 2015-03-31 DOI: 10.3905/jot.2015.10.2.001
Brian R. Bruce
{"title":"Editor’s Letter","authors":"Brian R. Bruce","doi":"10.3905/jot.2015.10.2.001","DOIUrl":"https://doi.org/10.3905/jot.2015.10.2.001","url":null,"abstract":"","PeriodicalId":254660,"journal":{"name":"The Journal of Trading","volume":"78 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117128335","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A Comparative Analysis on the Volume-Return Relationship of the Exchange-Traded Fund and the Stock Market 交易所交易基金与股票市场量收益关系的比较分析
The Journal of Trading Pub Date : 2015-03-31 DOI: 10.3905/jot.2015.10.2.005
Jung-Chu Lin, V. Sum
{"title":"A Comparative Analysis on the Volume-Return Relationship of the Exchange-Traded Fund and the Stock Market","authors":"Jung-Chu Lin, V. Sum","doi":"10.3905/jot.2015.10.2.005","DOIUrl":"https://doi.org/10.3905/jot.2015.10.2.005","url":null,"abstract":"This article aims to examine the contemporaneous relationship between trading volume and returns in the Taiwan exchange-traded fund (ETF) market, taking the stock market as a contrast. Whereas past research using correlation analysis and ordinary least squares method to specify a linear regression model catches only the average relationship between volume and return, this article applies the quantile regression analysis to provide a more complete description for the volume-return relationship in the ETF and stock markets. The empirical results show a symmetric volume-return relationship in the ETF market and an asymmetric volume-relationship in the stock market when the short-sale uptick rule is still applicable for all listed stocks. The volume-return relationship of the stock market became more symmetric after the elimination of the uptick rule on short sales for high-cap stocks and, at last, for the entire listed stocks. The results demonstrate that transaction costs and the short-sale restriction are important factors in influencing the pattern of the volume-return relationship.","PeriodicalId":254660,"journal":{"name":"The Journal of Trading","volume":"515 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116205654","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
The Effects of Algorithmic Trading on Security Market Quality 算法交易对证券市场质量的影响
The Journal of Trading Pub Date : 2015-03-31 DOI: 10.3905/jot.2015.10.2.041
F. Harris
{"title":"The Effects of Algorithmic Trading on Security Market Quality","authors":"F. Harris","doi":"10.3905/jot.2015.10.2.041","DOIUrl":"https://doi.org/10.3905/jot.2015.10.2.041","url":null,"abstract":"We estimate in a systems framework the effect of algorithmic trading (AT) on security market quality, defined to include market manipulation at the close, information leakage prior to price-sensitive announcements, and effective spreads. Using cancellation proxies to identify AT, we show that greater AT can reduce market manipulation and information leakage as well as spreads. The data cover all securities on the London Stock Exchange and on NYSE-Euronext Paris four years before and after Markets in Financial Instruments Directive 1 (MiFID1).","PeriodicalId":254660,"journal":{"name":"The Journal of Trading","volume":"250 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122532421","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
What Is Wrong with Canada’s Capital Markets? 加拿大资本市场出了什么问题?
The Journal of Trading Pub Date : 2015-03-31 DOI: 10.3905/jot.2015.10.2.103
J. Schmitt
{"title":"What Is Wrong with Canada’s Capital Markets?","authors":"J. Schmitt","doi":"10.3905/jot.2015.10.2.103","DOIUrl":"https://doi.org/10.3905/jot.2015.10.2.103","url":null,"abstract":"Today’s markets are more unfair than ever. Market participants benefiting from a technological advantage and the financial capability to leverage it deploy strategies that make the playing field uneven and are harmful to long-term investors. The quality of execution in today’s markets is impaired by predatory trading strategies, and considerable wealth is transferred from the average citizen to a small subset of market participants. There have always been predatory trading strategies. But now they’re systemic, amplified by marketplaces that are complicit. The pendulum has swung too far; it has become taxation without representation.","PeriodicalId":254660,"journal":{"name":"The Journal of Trading","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121749931","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Recommendations for Equitable Allocation of Trades in High-Frequency Trading Environments 在高频交易环境中公平分配交易的建议
The Journal of Trading Pub Date : 2015-03-31 DOI: 10.3905/jot.2015.10.2.081
J. McPartland
{"title":"Recommendations for Equitable Allocation of Trades in High-Frequency Trading Environments","authors":"J. McPartland","doi":"10.3905/jot.2015.10.2.081","DOIUrl":"https://doi.org/10.3905/jot.2015.10.2.081","url":null,"abstract":"This article acknowledges and summarizes much of the relevant published research, discusses some of the high-frequency trading (HFT) strategies that likely run counter to good public policy, and makes nine recommendations that, if implemented, would likely restore the perception of fairness and balance to today’s 21st century modern electronic financial markets.","PeriodicalId":254660,"journal":{"name":"The Journal of Trading","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115299704","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 16
The State of Play in European Over-the-Counter Equities Trading 欧洲场外股票交易的现状
The Journal of Trading Pub Date : 2015-03-31 DOI: 10.3905/jot.2015.10.2.023
P. Gomber, Satchit Sagade, E. Theissen, M. C. Weber, Christian Westheide
{"title":"The State of Play in European Over-the-Counter Equities Trading","authors":"P. Gomber, Satchit Sagade, E. Theissen, M. C. Weber, Christian Westheide","doi":"10.3905/jot.2015.10.2.023","DOIUrl":"https://doi.org/10.3905/jot.2015.10.2.023","url":null,"abstract":"In early 2014, the European Council, the European Parliament, and the European Commission reached an agreement on MiFID II (Markets in Financial Instruments Directive) and on MiFIR (Markets in Financial Instruments Regulation). Because the new regulatory framework will significantly influence and likely reduce European over-the-counter (OTC) equities trading, our article investigates the current state of OTC trading in Europe. Therefore, we investigate OTC transaction sizes for Euro STOXX 50 constituents between January 2008 and June 2013, discuss whether and how they might have caused market impact, and give insights on how this affects the European trading landscape.","PeriodicalId":254660,"journal":{"name":"The Journal of Trading","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126550907","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 10
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