Ce jeudi 24 mars à 13h nous aurons le plaisir de nous retrouver en présentiel pour un séminaire Quaresmi présenté par Christophe Desagre, chargé de cours à l’ICHEC. Celui-ci nous présentera un exposé intitulé “High-Frequency Traders and Flash Events: Trading Activity and Liquidity Dynamics Around Mini Flash Crashes ” dont voici un résumé :
We investigate how high-frequency traders (HFTs) behave around and during a certain type of flash events known as mini flash crashes (MFCs) on 74 large, medium and small Nasdaq stocks over the period 2008-2010. To do so, we identify MFCs by replicating Nanex MFC detection algorithm and complement our study with a parallel analysis on extreme price movements (EPMs), providing an alternative way to measure them. Our findings reveal that the behavior of HFTs around and during 1.5-second crashes is ambiguous. Based on directional trade imbalance metrics, we find that HFTs do highly significantly exacerbate the crash during 1.5-second extreme price movements, which contradicts the findings by Brogaard et al. (2018), and that NHFTs are the ones who contribute to the resiliency of stock prices after EPMs (at a 1% significance level of significance). However, based on a multivariate regression analysis, we find that, on average, HFTs reduce their liquidity demand during EPMs. When studying MFC and EPM subsamples by market capitalization, we find that HFTs do reduce their liquidity demand during EPMs occurring on large stocks but increase their liquidity demand during EPMs occurring on small stocks. The virtuous behavior of HFTs in large stocks may thus hide a more vicious behavior in small stocks. Moreover, we find that the reduction in HFT liquidity demand is more pronounced during the opening and closing periods. Finally, we find that HFT participation at time t-1 is by far the main determinant of mini flash crashes at time t, whatever the model specification.
Séminaire ouvert à tous. La présentation aura lieu à l’ICHEC, site Anjou, local E202 à 13h. Pour faciliter l’organisation, merci de vous inscrire auprès de firstname.lastname@example.org.
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