The fundamental changes witnessed by equity markets due to the High Frequency Traders (HFTs) and its impact on invest management

2014 Fiscal Year Final Research Report

• Project/Area Number: 24530368
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Public finance/Monetary economics
• Research Institution: Waseda University
• Principal Investigator: UNO Jun 早稲田大学, 商学学術院, 教授 (00349218)
• 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)
• Project Period (FY): 2012-04-01 – 2015-03-31
• Keywords: 高頻度取引 / 流動性 / 価格発見 / クラウド・ファンディング

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.

Free Research Field

金融