Coming Early to the Party
Coming Early to the Party
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DOI：
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发表时间：
2017
期刊：
影响因子：
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通讯作者：
Darya Yuferova
中科院分区：
文献类型：
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作者：
Mario Bellia;L. Pelizzon;M. Subrahmanyam;Junko Uno;Darya Yuferova
我们研究了纽约-泛欧巴黎交易所在开盘前阶段和开盘拍卖期间高频交易者（HFT）的策略行为。高频交易员积极参与，并从订单流中获取信息。他们还发布“闪电崩盘”指令，以获得时间优先权。他们在最后一秒的订单中获利;然而，其他人也是如此，这表明没有速度优势。高频交易引导价格发现，既不损害也不改善流动性。他们“早到派对”，并享受它（赚取利润）;然而，他们也帮助其他人享受派对（提高市场质量），并没有特权（他们的速度优势并不重要）。
We examine the strategic behavior of High Frequency Traders (HFTs) during the pre-opening phase and the opening auction of the NYSE-Euronext Paris exchange. HFTs actively participate, and profitably extract information from the order flow. They also post "flash crash" orders, to gain time priority. They make profits on their last-second orders; however, so do others, suggesting that there is no speed advantage. HFTs lead price discovery, and neither harm nor improve liquidity. They "come early to the party", and enjoy it (make profits); however, they also help others enjoy the party (improve market quality) and do not have privileges (their speed advantage is not crucial).
电子集合拍卖市场的价格信息性和高频交易
DOI：
10.2139/ssrn.3098718
发表时间：
2020
期刊：
影响因子：
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作者：
Anagnostidis;Fontaine;Varsakelis
通讯作者：
Varsakelis