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Fagseminar ved HHUiS: Fast Aggressive Trading

Handelshøgskolen ved UiS arrangerer tirsdag 21. januar kl. 12.15 åpent fagseminar hvor professor Richard Payne fra City University London presentere artikkelen "Fast Aggressive Trading".

Professor Richard Payne, Cass Business School, City University London Professor Richard Payne, Cass Business School, City University London

Handelshøgskolen ved UiS ønsker alle interesserte velkommen til åpent fagseminar, tirsdag 21. april kl 12:15-13:15 med professor Richard Payne fra Cass Business School ved City University London.

 

Professor Richard Payne vil presentere artikkelen: 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, auditorium H-317.

 

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