Stealth trading in modern high-frequency markets

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• dc.contributor.author García, Alejandro
• dc.contributor.author Kelly, Thomas
• dc.contributor.author Seguí, Joan
• dc.date.accessioned 2021-02-05T14:21:30Z
• dc.date.available 2021-02-05T14:21:30Z
• dc.date.issued 2020-07
• dc.description Treball fi de màster de: Master's Degree in Economics and Financeca
• dc.description Director: Roberto Pascualca
• dc.description.abstract Previous research has identified stealth trading by informed participants as a primary driver of price discovery in equity markets. Using two distinct empirical approaches, this paper extends the stealth trading literature by analyzing price contribution from trades of several different characteristics with a particular focus on the role of high-frequency traders (HFTs). Our results support conclusions from prior work arguing that small trades play an outsized role in price discovery at the daily level, and also suggest that HFTs correctly anticipate price movements and engage in stealth trading over the session and at higher frequencies, thus driving price formation.en
• dc.description.abstract Recerques anteriors identifiquen el stealth trading per part de participants informats com a mecanisme principal en el descobriment de preus en els mercats borsaris. Aquest treball analitza la contribució de diferents tipus d’operacions en el preus, amb especial atenció en els operadors d’alta freqüència (HFTs). Els nostres resultats concorden amb les conclusions d’anteriors treballs, argumentant que les operacions de baix volum tenen un paper excessiu en el procés de descobriment de preus a nivell diari, i suggerint que els HFT anticipen moviments en els preus i porten a terme el stealth trading durant les sessions a altes freqüències.ca
• dc.format.mimetype application/pdf*
• dc.identifier.uri http://hdl.handle.net/10230/46371
• dc.language.iso engca
• dc.rights Atribución-NoComercial-SinDerivadas 3.0 Españaca
• dc.rights.accessRights info:eu-repo/semantics/openAccessca
• dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/ca
• dc.subject.other Treball de fi de màster – Curs 2019-2020ca
• dc.subject.other Microestructura de mercatca
• dc.subject.other Descobriment de preusca
• dc.subject.other Liquiditatca
• dc.subject.other Market microstructureen
• dc.subject.other Price discoveryen
• dc.subject.other Liquidityen
• dc.title Stealth trading in modern high-frequency marketsen
• dc.type info:eu-repo/semantics/masterThesisca