|Researchers:||Benjamin Clapham, Peter Gomber, Jascha-Alexander Koch, Sven Panz|
By means of empirical analyzes and experiments, 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. 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.
This project is funded by:
|Benjamin Clapham, Peter Gomber, Martin Haferkorn, Paul Jentsch, Sven Panz||Ensuring Market Integrity and Stability: Circuit Breakers on International Trading Venues|
Journal of Trading
|197||Benjamin Clapham, Peter Gomber, Martin Haferkorn, Paul Jentsch, Sven Panz||Circuit Breakers – A Survey among International Trading Venues||2018||Financial Markets|
|195||Benjamin Clapham, Peter Gomber, Martin Haferkorn, Sven Panz||Managing Excess Volatility: Design and Effectiveness of Circuit Breakers||2018||Financial Markets||Circuit Breaker, Volatility Interruption, Volatility, Liquidity, Market Design|
|196||Benjamin Clapham, Peter Gomber, Sven Panz||Coordination of Circuit Breakers? Volume Migration and Volatility Spillover in Fragmented Markets||2018||Financial Markets||Circuit Breaker, Volatility Interruption, Market Fragmentation, High-Frequency Trading, Stock Market, Regulation, Liquidity|