| Project/Area Number |
24530368
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Waseda University |
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Principal Investigator |
UNO Jun 早稲田大学, 商学学術院, 教授 (00349218)
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| Co-Investigator(Kenkyū-buntansha) |
HODA Takaaki 昭和女子大学, グローバルビジネス学部, 准教授 (90581546)
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| Project Period (FY) |
2012-04-01 – 2015-03-31
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| Project Status |
Completed (Fiscal Year 2014)
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| Budget Amount *help |
¥4,940,000 (Direct Cost: ¥3,800,000、Indirect Cost: ¥1,140,000)
Fiscal Year 2014: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2013: ¥1,950,000 (Direct Cost: ¥1,500,000、Indirect Cost: ¥450,000)
Fiscal Year 2012: ¥2,080,000 (Direct Cost: ¥1,600,000、Indirect Cost: ¥480,000)
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| Keywords | 高頻度取引 / 流動性 / 価格発見 / クラウド・ファンディング / 市場外取引 / 取引高速化 / 金融危機 / クラウドファンディング / 高速取引の浸透 / 流動性供給競争の激化 / 市場分断 / HFT / 市場分断は取引所の流動性に貢献 / クラウドファンディングの可能性 |
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| Outline of Final Research Achievements |
The fundamental changes witnessed by equity markets over the past decade, in particular due to the growing presence of High Frequency Traders (HFTs), have prompted a re-examination of how these two functions have been affected. In this vein, the key questions that we examine in this paper are (a) whether High Frequency Traders (HFTs) in equity markets provide or drain liquidity, and (b) whether HFTs merely amplify noise or lead to an improvement in the price discovery process, during the market pre-opening period. Overall, we conclude that HFTs do provide liquidity without magnifying the price fluctuations. We examine various types of off-exchange venue such as PTS (proprietary trading system) and crowd funding as alternative market system.
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