We exploit a recent market design change on the Canadian trading venue TSX Alpha to investigate the impact of a sudden segmentation of informed order flow between venues on overall market quality, transaction costs and welfare of market participants. We show that by combining a randomized speed bump for marketable orders only with an inverted
NEW COST-BENEFIT ANALYSIS BY CMCRC RESEARCHER DR HUI ZHENG (USYD) EXAMINES ‘PHANTOM LIQUIDITY’ AND THE COST OF HFT REGULATION
Some market participants have long argued that the liquidity provided by HFT traders is illusory and difficult to access. But recent research concludes that HFT limit orders exert a stabilizing influence on markets, calling into question the effectiveness and rationale of recent regulatory proposals targeting high-frequency trading. Read more at TABB Forum here.
Professor Talis Putnins from UTS and Dr Sean Foley from USYD, part of the CMCRC research team, produce another example of world leading research due to be published in the Journal of Financial Economics. The research tackles the controversial issue surrounding the regulation and impact of dark pools and answers the question of whether we
CONGRATULATIONS TO EMERITUS PROFESSOR MARY O’KANE ON HER RECOGNITION AS A COMPANION OF THE ORDER OF AUSTRALIA IN THE 2016 AUSTRALIA DAY HONOURS.
CMCRC board member Professor O’Kane received this prestigious award for her eminent service to science and engineering, as a contributor to national policy development and governance, to the promotion of technology research and future energy supply, to higher education, and as a role model for young scientists. Read more about the 2016 recipients here.
New research published by CMCRC researcher Dr Hui Zheng and Professor Vanidhar Subrahmanyam, demonstrates that order cancellations rates so frequently associated with HFT and put forward as evidence of the adverse consequences of such traders is dispelled in a new paper which examines cancellations rates for all traders in markets. Read more from Mark Spanbroek, Acting
CMCRC RESEARCH ARTICLE ON MARKET FAIRNESS: THE POOR COUNTRY COUSIN OF MARKET EFFICIENCY PUBLISHED IN FT45 JOURNAL
A ground-breaking article from the CMCRC suggests that there might exist a trade-off between efficiency and integrity in financial markets, leading to a challenging balancing act for regulators. In an article recently published in the Journal of Business Ethics, Professor Michael Aitken and a number of other senior researchers from the CMCRC explain that markets
CEO Michael Aitken highlights the problem with manipulative behaviour in markets, in particular spoofers who can influence prices in one market and trade somewhere else, possibly undetected. Read article Source: Bloomberg News Link: Market Police Deploy New Weapons Against Spoofers
Congratulations to CMCRC CEO Prof. Michael Aitken on being selected as part of the Knowledge Nation 100 list released today. The list celebrates individuals who have contributed to the Knowledge Economy, which harnesses data analytics to create new discoveries, inventions, knowledge and actionable solutions to improve all aspects of lifeThe Australian(1)
The Australasian Language Technology Association Workshop (ALTA) will be held at the Western Sydney University, Parramatta campus 8-9 December 2015, CMCRC is a proud sponsor. The workshop is the key local forum for socialising research results in natural language processing and computational linguistics, with featured keynote speakers, as well as presentations and posters from student,
PROF. AITKEN SPEAKS AT THE TECH23.2015 CONFERENCE HELD ON TUESDAY 17 NOVEMBER 2015. TECH23 SHOWCASE THE BEST EXAMPLES OF UNIVERSITY/INDUSTRY COLLABORATION
TECH23 has been held annually for 6 years. Over this time it has established itself as the unmissabvle celebration of Australian Innovation. Tech23 2015 will bring together the ecosystem – investors, entrepreneurs and innovators from across Australian enterprise, government and industry sectors. It will showcase 23 world-class startups with high growth potential, technical expertise who are tackling