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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.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	High Frequency Trading and Its Impact on Market Quality in U.S. Futures Market./
作者:	Wang, Chao.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2020,
面頁冊數:	101 p.
附註:	Source: Dissertations Abstracts International, Volume: 82-03, Section: A.
Contained By:	Dissertations Abstracts International82-03A.
標題:	Finance. -
電子資源:	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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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.
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