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High Frequency Trading and Its Impac...

Wang, Chao.

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High Frequency Trading and Its Impact on Market Quality in U.S. Futures Market.

Record Type:	Electronic resources : Monograph/item
Title/Author:	High Frequency Trading and Its Impact on Market Quality in U.S. Futures Market./
Author:	Wang, Chao.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2020,
Description:	101 p.
Notes:	Source: Dissertations Abstracts International, Volume: 82-03, Section: A.
Contained By:	Dissertations Abstracts International82-03A.
Subject:	Finance. -
Online resource:	https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=28027009
ISBN:	9798664772104

High Frequency Trading and Its Impact on Market Quality in U.S. Futures Market.
Wang, Chao.

High Frequency Trading and Its Impact on Market Quality in U.S. Futures Market. - Ann Arbor : ProQuest Dissertations & Theses, 2020 - 101 p.

Source: Dissertations Abstracts International, Volume: 82-03, Section: A.

Thesis (Ph.D.)--Illinois Institute of Technology, 2020.

This item must not be sold to any third party vendors.

This research focuses on the effects of high frequency trading (HFT) on market liquidity in US futures market. This research utilizes a unique data set consisting of all book events for multiple underlying assets and contracts during calendar year 2018, covering all trading days information of E-mini S&P 500, Gold, Eurodollar, Crude Oil, Corn and Soybean futures with their nearby and deferred contract data each day. This study extends findings from existing HFT equity research (e.g. Brocher et al., 2016; Frino et al., 2019, etc.) that HFT promotes market liquidity, into the commodity market. It also addresses HFT's contributions to price discovery, and find it varies by types of commodities. Furthermore, the research identifies how an HFT phenomenon, the Cancel Cluster, impacts the futures market. Also, this research verifies and extends the models in Frino et al. (2019) to multiple commodities. Finally, a series of promising future analyses are suggested.

ISBN: 9798664772104Subjects--Topical Terms:

542899
Finance.
Subjects--Index Terms:

Cancel cluster

High Frequency Trading and Its Impact on Market Quality in U.S. Futures Market.
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245 1 0 $a High Frequency Trading and Its Impact on Market Quality in U.S. Futures Market.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2020
300 $a 101 p.
500 $a Source: Dissertations Abstracts International, Volume: 82-03, Section: A.
500 $a Advisor: Cooper, Ricky.
502 $a Thesis (Ph.D.)--Illinois Institute of Technology, 2020.
506 $a This item must not be sold to any third party vendors.
520 $a This research focuses on the effects of high frequency trading (HFT) on market liquidity in US futures market. This research utilizes a unique data set consisting of all book events for multiple underlying assets and contracts during calendar year 2018, covering all trading days information of E-mini S&P 500, Gold, Eurodollar, Crude Oil, Corn and Soybean futures with their nearby and deferred contract data each day. This study extends findings from existing HFT equity research (e.g. Brocher et al., 2016; Frino et al., 2019, etc.) that HFT promotes market liquidity, into the commodity market. It also addresses HFT's contributions to price discovery, and find it varies by types of commodities. Furthermore, the research identifies how an HFT phenomenon, the Cancel Cluster, impacts the futures market. Also, this research verifies and extends the models in Frino et al. (2019) to multiple commodities. Finally, a series of promising future analyses are suggested.
590 $a School code: 0091.
650 4 $a Finance. $3 542899
653 $a Cancel cluster
653 $a Futures
653 $a High frequency trading
653 $a Market liquidity
653 $a Market microstructure
653 $a Price discovery
690 $a 0454
690 $a 0508
710 2 $a Illinois Institute of Technology. $b Stuart School of Business. $3 3182822
773 0 $t Dissertations Abstracts International $g 82-03A.
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