MENY

Fagseminar ved HHUiS: Fast Aggressive Trading

Handelshøgskolen ved UiS arrangerer fagseminar hvor professor Richard Payne fra City University London presenterer artikkelen "Fast Aggressive Trading".

FAGSEMINAR VED HHUIS

Velkommen til åpent fagseminar, tirsdag 21. april kl 12:15-13:15 med professor Richard Payne fra Cass Business School ved City University London.

Fast Aggressive Trading

Abstract:

We subdivide trades on the London Stock Exchange according to their reaction times. We classify an aggressive order as `fast' if it executes against a standing limit order that is less than 50 milliseconds old. We show that fast trades are associated with smaller execution costs than slow trades. However, fast trades lead to virtually no permanent price impact while slow trades have the usual positive long run price impacts. We find little evidence that fast traders manipulate counter-parties into trading with them at improved prices. Overall, the subset of fast traders we isolate are fairly innocuous. This suggests that regulating trading speed in order to curb issues thought to be associated with high-frequency trading may be at best a very blunt tool and, at worst, may impose significant costs on those who use low-latency systems to execute efficiently.

Seminaret finner sted i Ellen & Axel Lunds hus H-317.

Professor Richard Payne

Professor Richard Payne