Publication details

Dynamics of liquidity on German stock market under the influence of HFT



Year of publication 2016
Type Article in Proceedings
Conference 19th International Conference Enterprise and Competitive Environment (ECE)
MU Faculty or unit

Faculty of Economics and Administration

Field Management and administrative
Keywords liquidity; high-frequency trading; panel regression; Germany
Description Algorithmic trading is the subject of criticism mostly from low frequency traders and long-term institutional investors. Advocates of this trading mechanism claim that it has large positive influence on the market, such as liquidity growth by lowering spreads. This paper is focused on testing the relationship between market liquidity of shares traded on German Stock Exchange and HFT activity. Author proposes own methodology for measuring dynamics in HFT activity. Econometrical methods for panel regression are used to determine these relations. Results of this paper confirm the relevance of the HFT trader's main argument about creating liquidity.
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