Coming early to the party

Mario Bellia, Loriana Pelizzon (), Marti G. Subrahmanyam, Jun Uno and Darya Yuferova
Additional contact information
Marti G. Subrahmanyam: Leonard N. Stern School of Business, New York University
Jun Uno: Waseda University; Ca' Foscari University of Venice
Darya Yuferova: Norwegian School of Economics (NHH)

No 2020:11, Working Papers from Department of Economics, University of Venice "Ca' Foscari"

Abstract: We examine the strategic behavior of High Frequency Traders (HFTs) during the pre-opening phase and the opening auction of the NYSE-Euronext Paris exchange. HFTs actively participate, and profitably extract information from the order flow. They also post "flash crash" orders, to gain time priority. They make profits on their last-second orders; however, so do others, suggesting that there is no speed advantage. HFTs lead price discovery, and neither harm nor improve liquidity. They "come early to the party", and enjoy it (make profits); however, they also help others enjoy the party (improve market quality) and do not have privileges (their speed advantage is not crucial).

Keywords: High-Frequency Traders (HFTs); Proprietary Trading; Opening Auction; Liquidity Provision; Price Discovery (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Pages: 63 pages
Date: 2020
New Economics Papers: this item is included in nep-mst
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Related works:
Working Paper: Coming early to the party (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:ven:wpaper:2020:11

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