Management of Market Risks: Regulation and Coordination of Volatility Interruptions in Europe

Projekt Start:10/2015
Forscher:Benjamin Clapham, Peter Gomber, Jascha-Alexander Koch, Sven Panz
Kategorie: Financial Markets
Finanziert von:FIRM

The project is funded by the Frankfurt Institute for Risk Management (FIRM).

The aim of the research project is to assess whether volatility interruptions represent a suitable mechanism to minimize extreme price jumps and related market risks in the fragmented European markets by means of empirical analyzes and experiments. In light of the large number of extreme price movements in recent years and the high relevance of high frequency trading, safeguards such as volatility interruptions seem to be necessary in order to ensure the integrity of securities markets. Therefore, this research project is intended to investigate how differently designed volatility interruptions influence market quality parameters such as volatility, liquidity and price discovery. Likewise, the research project will provide insights whether a coordination of volatility interruptions is necessary in the increasingly fragmented European securities trading landscape. The results of the research project can assist regulators and market operators in the implementation of volatility safeguards and help to protect investors and intermediaries against unfounded price fluctuations and market risks.

Zugehörige publizierte Papers

Benjamin Clapham, Peter Gomber, Martin Haferkorn, Paul Jentsch, Sven PanzEnsuring Market Integrity and Stability: Circuit Breakers on International Trading Venues
Journal of Trading
2017 Financial Markets

Zugehörige Working Papers

197Benjamin Clapham, Peter Gomber, Martin Haferkorn, Paul Jentsch, Sven PanzCircuit Breakers – A Survey among International Trading Venues2018 Financial Markets
195Benjamin Clapham, Peter Gomber, Martin Haferkorn, Sven PanzManaging Excess Volatility: Design and Effectiveness of Circuit Breakers2018 Financial Markets Circuit Breaker, Volatility Interruption, Volatility, Liquidity, Market Design
196Benjamin Clapham, Peter Gomber, Sven PanzCoordination of Circuit Breakers? Volume Migration and Volatility Spillover in Fragmented Markets2018 Financial Markets Circuit Breaker, Volatility Interruption, Market Fragmentation, High-Frequency Trading, Stock Market, Regulation, Liquidity