Market Frictions - High frequency trading
8 important questions on Market Frictions - High frequency trading
What are high frequency traders?
How did the flash crash of may 6 happen?
- One big fundamental sale of e-mini (SP500 futures)
- Strong reaction by algo's
- Due to fragmented liquidity, cross-market arbitrage broke down
- Relation between maximum price change and fragmentation? --> Madhavan
Relationship between fragmentation and tha flash crash
-> the higher the herfindahl index --> the less fragmentation --> the lower the maximum drawdown ; more fragmentation --> bigger response to flashcrash
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What are the sources of illiquidity (e.g., why are markets not working perfectly?)
- Exogeneous trading costs
- Private information
- Search costs
- Inventory risk for the market maker
Sources of illiquidity; what are is private information?
Sources of illiquidity; what are search costs?
Sources of illiquidity; inventory risk for the market maker
Measuring liquidity; how do the measures three interact
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