High frequency trading, price discovery and market efficiency in the FTSE100

Leone Vitor; Kwabi Frank

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High frequency trading, price discovery and market efficiency in the FTSE100

机译：高频交易，价格发现和市场效率在FTSE100

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This study examines the role of high frequency trading in price discovery and efficiency in the FTSE100 index tick changes. We find that there is no random walk when investors extract information at a millisecond to a second. (C) 2019 Elsevier B.V. All rights reserved.

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来源
《Economics letters》 |2019年第8期|174-177|共4页
作者
Leone Vitor; Kwabi Frank;
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作者单位

De Montfort Univ Leicester Castle Business Sch Dept Accounting & Finance Leicester LE1 9BH Leics England;

De Montfort Univ Leicester Castle Business Sch Dept Accounting & Finance Leicester LE1 9BH Leics England;

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原文格式 PDF
正文语种 eng
中图分类
关键词
High frequency trading; Price discovery; Market efficiency;

机译：高频交易;价格发现;市场效率;

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1. High frequency trading, price discovery and market efficiency in the FTSE100 [J] . Leone Vitor, Kwabi Frank Economics letters . 2019,第AUGa期

机译：FTSE100中的高频交易，价格发现和市场效率
2. The implications of high-frequency trading on market efficiency and price discovery [J] . Viktor Manahov, Robert Hudson Applied economics letters . 2014,第16a18期

机译：高频交易对市场效率和价格发现的影响
3. Institutional high frequency trading and price discovery: Evidence from an emerging commodity futures market [J] . Zhao Yue, Wan Difang Journal of futures markets . 2018,第2期

机译：机构高频交易和价格发现：来自新兴商品期货市场的证据
4. Fast Trading and Price Discovery in the Financial Crisis: Evidence from the Taiwan Futures Market [C] . William T. Lin, Zi-Huang Huang, Shih-Chuan Tsai International conference on web information systems and applications . 2020

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5. Price discovery: Electronic versus floor trading in the equity index futures market. [D] . Ates, Aysegul. 2003

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7. Market Efficiency and price discovery relationships between spot, futures and forward prices: The case of the Iberian Electricity Market (MIBEL) [O] . Ballester, José María, Climent Diranzo, Francisco José, Furió Ortega, María Dolores 2016

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High frequency trading, price discovery and market efficiency in the FTSE100

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