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- W3087914126 abstract "This paper used millisecond-level intraday data from the Taiwan futures market during the financial crisis to propose an effective data processing method using the program and a non-SQL database. Fast traders were classified based on the investors’ trading volume and position size. First, the state space model was used to decompose the prices. It was discovered that fast trading (FT) can cause permanent price increments, which are independent of temporary prices. FT during the financial crisis helped improve price efficiency and liquidity. Second, the activity of FT is based on public information, which makes price discovery during a high-Volatility Index (VIX) period possible and causes an increase in the adverse selection cost of non-fast traders (non-FT)." @default.
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- W3087914126 date "2020-01-01" @default.
- W3087914126 modified "2023-10-17" @default.
- W3087914126 title "Fast Trading and Price Discovery in the Financial Crisis: Evidence from the Taiwan Futures Market" @default.
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- W3087914126 doi "https://doi.org/10.1007/978-3-030-60029-7_47" @default.
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