This paper analyzes how a maker-taker fee reduction affects market competition, liquidity, and high frequency trading. The purposes are threefold: 1) whether reducing the exchange maker-taker fee attracts liquidity from off-exchange venues; 2) holding the net exchange fee relatively constant, whether the components of the maker-taker fee change matter; and 3) how HFT responds to
The recent high profile court cases in the U.S., UK and China on high frequency trading (HFT) have further elevated the concerns about HFT. In particular, a core issue in the ongoing debate is the impact of HFT on market liquidity. Market participants have long argued that the liquidity provided by HFT traders is illusory
Evidence from UK interest rate futures market reveals that traders have been “drowning” the market with oversized orders, increasing their allocation under a pure pro-rata matching algorithm. The 2007 introduction of a time element to the order matching mechanism has modified the behaviour of traders. No longer is the order book drowned with orders which
Speaker: Stella Xu Seminar Date: Tuesday June 20 12:00pm Brief abstract: Many of us may have heard of high frequency trading, but most of us may not realize that a large proportion of the ads that we see online are bought at real time as well. Demand side platforms such as The Trade Desk use different data sources to