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- W2517382044 abstract "We examine the impact of higher frequency trading on the frequency and severity of suspected end of day price dislocation cases in 22 stock exchanges around the world over the period January 2003-June 2011. Controlling for country, market, legal and other differences across exchanges and over time, and using a variety of robustness checks including difference-in-differences tests, we show that the presence of high frequency trading in some market has significantly mitigated the frequency and severity of end-of-day manipulation, counter to recent concerns expressed in the media. The effect of HFT is more pronounced than the role of trading rules, surveillance, enforcement and legal conditions in curtailing the frequency and severity of end-of-day manipulation." @default.
- W2517382044 created "2016-09-16" @default.
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- W2517382044 date "2012-01-01" @default.
- W2517382044 modified "2023-09-23" @default.
- W2517382044 title "High Frequency Trading and End-of-Day Manipulation" @default.
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- W2517382044 doi "https://doi.org/10.2139/ssrn.2109920" @default.
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