Ultra-Fast Activity and Intraday Market Quality

Cartea González, Álvaro Iván; Payne, Richard; Penalva, José S.; Tapia, Mikel

Ultra-Fast Activity and Intraday Market Quality

Author(s): Cartea González, Álvaro Iván; Payne, Richard; Penalva, José S.; Tapia, Mikel

Publisher: Elsevier

Issued date: 2019-02-01

Citation: Cartea, Á., Payne, R., Penalva, J., & Tapia, M. (2019). Ultra-fast activity and intraday market quality. Journal of Banking & Finance, 99, pp. 157-181.

ISSN: 0378-4266

DOI: https://doi.org/10.1016/j.jbankfin.2018.12.003

xmlui.dri2xhtml.METS-1.0.item-contributor-funder: Ministerio de Ciencia y Tecnología (España)

Sponsor: José Penalva acknowledges financial support from the Fundacin BBVA (Ayuda Fundación BBVA a Investigadores y Creadores Culturales 2015, beca Leonardo) and the Ministerio de Ciencia y Teconología grant ECO2012-36559 and ECO2015-69205-P (with Mikel Tapia).

Project: Gobierno de España. ECO2012-36559
Gobierno de España. ECO2015-69205-P

Keywords: High-frequency trading , HFT , Algorithmic trading , Market quality , Low latency , Intraday trading , Spoofing , Fleeting orders , Quote stuffing

URI: http://hdl.handle.net/10016/34539

Rights: © 2018 Elsevier
Atribución-NoComercial-SinDerivadas 3.0 España

Abstract:

This paper studies the intraday relationship between ultra-fast machine-driven activity (UFA) and market quality in automated equity markets. We find that higher UFA is associated with lower intraday market quality (greater quoted and effective spreads and low [+]

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