An analysis of the impact of high frequency trading on equity markets
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Vasilios Papalexiou Thesis
(PDF 15MB)
Available under License Creative Commons Attribution Non-commercial No Derivatives 4.0. |
Description
This thesis investigated the impacts of high frequency traders on the equity markets. At a base level, high frequency traders improve market liquidity and efficiency because they both compete with and undercut each other, thereby benefitting slower traders. However, high frequency traders have increased both systematic and systemic risk within the equity markets and have also increased liquidity resilience commonality during unfavourable market conditions. Overall, the results suggest that high frequency traders contribute both positively and negatively to the market, thus making it difficult to draw a clear conclusion about their overall value to the market.
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| ID Code: | 205752 |
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| Item Type: | QUT Thesis (PhD) |
| Supervisor: | Clements, Adam & Hurn, Stan |
| Keywords: | High Frequency Trading, Hawkes Process, Autoencoder, Market Microstructure, Liquidity, Price Discovery, Systematic Risk, Systemic Risk, Factor Copula, Liquidity Resilience |
| DOI: | 10.5204/thesis.eprints.205752 |
| Divisions: | Past > QUT Faculties & Divisions > QUT Business School Current > Schools > School of Economics & Finance |
| Institution: | Queensland University of Technology |
| Deposited On: | 13 Nov 2020 00:51 |
| Last Modified: | 09 Dec 2020 00:53 |
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