Coming early to the party

Mario Bellia, Loriana Pelizzon (), Marti Subrahmanyam, Jun Uno and Darya Yuferova

No 182, SAFE Working Paper Series from Leibniz Institute for Financial Research SAFE

Abstract: 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).

Keywords: High-Frequency Traders (HFTs); Proprietary Trading; Opening Auction; Liquidity Provision; Price Discovery (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2017
New Economics Papers: this item is included in nep-mst
References: Add references at CitEc
Citations: View citations in EconPapers (5)

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Related works:
Working Paper: Coming early to the party (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:safewp:182

DOI: 10.2139/ssrn.3038699

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