HFT activity increases periodic auctions costs
Eightfold jump in market impact as more trades head to once-benign execution format
The cost of trading stocks via periodic auctions has risen since the start of 2022, with some blaming a rush of high frequency trading (HFT) activity for an eightfold jump in price moves generated by the increasingly popular execution type.
Periodic auctions, which match batches of orders at frequent intervals throughout the day, are intended to minimise market impact when trading on lit venues.
A new study by analytics firm big xyt, however, shows the so-called reversion offset for these
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Investing
Securitisation clears way for UK insurers to buy ground rents
Asset manager says booming sector will make up for falling demand from pensions
Capital rules explain leverage craving in US bank risk transfers
Tougher requirements have led to conservative structuring and lower coupons
SEC intensifies scrutiny on ‘AI washing’
Regulator made first enforcement actions against high-tech misrepresentations this year
Hedge fund’s bots hunt for ‘non-linear’ trade signals
Boutique investment firm Goose Hollow uses LLMs to scrape thousands of news sources, searching for links that others miss
OCC readies new intraday margin requirement
Draft measure would cover all options positions including 0DTEs
Regulators urged to back non-cash variation margin
Market participants warn FSB on cash demands if banks curb collateral upgrade trades
The (slow) road to capital-backed investing for pensions
Partnerships with hedge funds and private equity firms promise a quicker route to funded status. So why have deals stalled?
Equity vol convexity selling gains momentum
Risky hedging strategy is attracting interest but can investors learn from past convexity blow-ups?
Most read
- Harvesting the FX skew premium
- How steepener trades burned hedge funds, and what happened next
- House of cards? The $3 trillion (non-systemic) real estate risk