High Frequency Trading and US Stock Market Microstructure: A Study of Interactions between Complexities, Risks and Strategies Residing in U.S. Equity Market Microstructure

2016 ◽  
Vol 25 (2) ◽  
pp. 107-165 ◽  
Author(s):  
Samir Abrol ◽  
Benjamin Chesir ◽  
Nikhil Mehta
Keyword(s):  
Stock Market ◽  
Market Microstructure ◽  
High Frequency ◽  
Equity Market ◽  
High Frequency Trading

scholarly journals High‑Frequency Trading in the Modern Market Microstructure: Opportunities and Threats

2019 ◽  
Vol 7 (3) ◽  
pp. 25-36
Author(s):  
M. Zharikov
Keyword(s):  
Financial Markets ◽  
Financial Market ◽  
Market Microstructure ◽  
High Frequency ◽  
Financial Engineering ◽  
Market Design ◽  
High Frequency Trading ◽  
Optimal Trading ◽  
Trading Market ◽  
Long Run

The article covers some ideas about the research on high-frequency trading and financial market design. The topic is time-relevant because today there exists a need to convince traders that there is a simple structural floor in the way that the financial markets are designed. The article reveals the significance of trading on the floor that the foremost fundamental constraint is limited time. The author proves that time on the financial market feels, to some extent, infinite when someone counts it in millions of seconds, but time is nevertheless finite. The author then gets into the actual research on high-frequency trading in the financial market design. The motivation for this project is to analyse activity among high-frequency trading firms by which investments of substantial sums of money are understood as economically trivial speed improvements. The theoretical significance of the research’s outcomes lies in outlaying the systemic approach to dealing with stochastic control problems in the context of financial engineering. The practical relevance of the paper lies in the mechanism that allows solving problems surrounding optimal trading, market microstructure, high-frequency trading, etc. The article concludes by talking about the issues in the modern electronic markets and by giving lessons to dealing with them in the long run.

scholarly journals Intraday and intraweek trade anomalies on the Czech stock market

2012 ◽  
Vol 60 (4) ◽  
pp. 79-88 ◽  
Author(s):  
Oleg Deev ◽  
Dagmar Linnertová
Keyword(s):  
Stock Market ◽  
High Frequency ◽  
Regression Models ◽  
Global Financial Crisis ◽  
Equity Market ◽  
High Frequency Data ◽  
Time Varying ◽  
Market Returns ◽  
The Global Financial Crisis ◽  
The Eu

The paper examines intraday and intraweek market returns on the Czech stock market for the search of time and seasonal anomalies in its activities during the last ten years. Existence or absence of anomalies indicates the efficiency of the market. A group of regression models and GARCH (1,1) model is used for the analysis of daily and high frequency data of the PX index. Time varying nature of market seasonalities is revealed with the Czech equity market having implications for changing efficiency over the studied period, when the Czech Republic’s accession to the EU implied the increase in efficiency and the global financial crisis led to opposite results and regularities, which are not yet fully overcomed. Additionally, significant hour-of-the-day effect (open jump effect) in the index returns is established.

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